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Langevin diffusions and the Metropolis-adjusted Langevin algorithm

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Langevin diffusions and the Metropolis-adjusted Langevin algorithm. / Xifara, Tatiana; Sherlock, Christopher; Livingstone, Samuel et al.
In: Statistics and Probability Letters, Vol. 91, 08.2014, p. 14-19.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Xifara, T, Sherlock, C, Livingstone, S, Byrne, S & Girolami, M 2014, 'Langevin diffusions and the Metropolis-adjusted Langevin algorithm', Statistics and Probability Letters, vol. 91, pp. 14-19. https://doi.org/10.1016/j.spl.2014.04.002

APA

Xifara, T., Sherlock, C., Livingstone, S., Byrne, S., & Girolami, M. (2014). Langevin diffusions and the Metropolis-adjusted Langevin algorithm. Statistics and Probability Letters, 91, 14-19. https://doi.org/10.1016/j.spl.2014.04.002

Vancouver

Xifara T, Sherlock C, Livingstone S, Byrne S, Girolami M. Langevin diffusions and the Metropolis-adjusted Langevin algorithm. Statistics and Probability Letters. 2014 Aug;91:14-19. Epub 2014 Apr 30. doi: 10.1016/j.spl.2014.04.002

Author

Xifara, Tatiana ; Sherlock, Christopher ; Livingstone, Samuel et al. / Langevin diffusions and the Metropolis-adjusted Langevin algorithm. In: Statistics and Probability Letters. 2014 ; Vol. 91. pp. 14-19.

Bibtex

@article{9e8106017226479d8c21a06ec46923a7,
title = "Langevin diffusions and the Metropolis-adjusted Langevin algorithm",
abstract = "We describe a Langevin diffusion with a target stationary density with respect to Lebesgue measure, as opposed to the volume measure of a previously-proposed diffusion. The two are sometimes equivalent but distinct in general and lead to different Metropolis-adjusted Langevin algorithms, which we compare.",
keywords = "Diffusions, Markov chain Monte Carlo , Metropolis-adjusted Langevin algorithm, Riemannian manifolds",
author = "Tatiana Xifara and Christopher Sherlock and Samuel Livingstone and Simon Byrne and Mark Girolami",
note = "Acceptance email received on 17/03/2014",
year = "2014",
month = aug,
doi = "10.1016/j.spl.2014.04.002",
language = "English",
volume = "91",
pages = "14--19",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Langevin diffusions and the Metropolis-adjusted Langevin algorithm

AU - Xifara, Tatiana

AU - Sherlock, Christopher

AU - Livingstone, Samuel

AU - Byrne, Simon

AU - Girolami, Mark

N1 - Acceptance email received on 17/03/2014

PY - 2014/8

Y1 - 2014/8

N2 - We describe a Langevin diffusion with a target stationary density with respect to Lebesgue measure, as opposed to the volume measure of a previously-proposed diffusion. The two are sometimes equivalent but distinct in general and lead to different Metropolis-adjusted Langevin algorithms, which we compare.

AB - We describe a Langevin diffusion with a target stationary density with respect to Lebesgue measure, as opposed to the volume measure of a previously-proposed diffusion. The two are sometimes equivalent but distinct in general and lead to different Metropolis-adjusted Langevin algorithms, which we compare.

KW - Diffusions

KW - Markov chain Monte Carlo

KW - Metropolis-adjusted Langevin algorithm

KW - Riemannian manifolds

U2 - 10.1016/j.spl.2014.04.002

DO - 10.1016/j.spl.2014.04.002

M3 - Journal article

VL - 91

SP - 14

EP - 19

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

ER -