Article ID Journal Published Year Pages File Type
1152621 Statistics & Probability Letters 2014 6 Pages PDF
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 in general distinct and lead to different Metropolis-adjusted Langevin algorithms, which we compare.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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