Metropolis and Langevin time
نویسندگان
چکیده
منابع مشابه
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
(First draft March 2005; revised November 2005) Abstract This paper extends some adaptive schemes that have been developed for the Random Walk Metropolis algorithm to more general versions of the Metropolis-Hastings (MH) algorithm, particularly to the Metropolis Adjusted Langevin algorithm of Roberts and Tweedie (1996). Our simulations show that the adaptation drastically improves the performan...
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ژورنال
عنوان ژورنال: Physical Review D
سال: 1989
ISSN: 0556-2821
DOI: 10.1103/physrevd.39.1246