Nonasymptotic mixing of the MALA algorithm

DOI10.1093/imanum/drs003zbMath1305.65012arXiv1008.3514OpenAlexW2963964450MaRDI QIDQ4907962

Publication date: 27 February 2013

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3514

zbMATH Keywords

stochastic differential equations invariant measures spectral gap convergence rate convergence to equilibrium Metropolis-Hastings algorithm transition probability geometric ergodicity Metropolis-adjusted Langevin algorithm finite-time transition probability weak accuracy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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