A function space HMC algorithm with second order Langevin diffusion limit
From MaRDI portal
Publication:5963495
DOI10.3150/14-BEJ621zbMath1346.60119arXiv1308.0543OpenAlexW1872439012MaRDI QIDQ5963495
Andrew M. Stuart, Natesh S. Pillai, Michela Ottobre, Frank J. Pinski
Publication date: 22 February 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.0543
diffusion limitshybrid Monte Carlo algorithmMarkov chain Monte Carlo algorithmsecond-order Langevin diffusion
Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)
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