Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets
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DOI: 10.1007/s40072-019-00147-5
Abstract: It is well known in many settings that reversible Langevin diffusions in confining potentials converge to equilibrium exponentially fast. Adding irreversible perturbations to the drift of a Langevin diffusion that maintain the same invariant measure… read more here.
Keywords: mala algorithm; mala; step; algorithm ... See more keywords