Non-stationary phase of the MALA algorithm

Kuntz, J; Ottobre, M; Stuart, AM

Ottobre, M (reprint author), Heriot Watt Univ, Dept Math, Edinburgh EH14 4AS, Midlothian, Scotland.

STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2018; 6 (3): 446

Abstract

The Metropolis-Adjusted Langevin Algorithm (MALA) is a Markov Chain Monte Carlo method which creates a Markov chain reversible with respect to a given......

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