Stability of partially implicit Langevin schemes and their MCMC variants (Q429995)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stability of partially implicit Langevin schemes and their MCMC variants |
scientific article; zbMATH DE number 6048541
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of partially implicit Langevin schemes and their MCMC variants |
scientific article; zbMATH DE number 6048541 |
Statements
Stability of partially implicit Langevin schemes and their MCMC variants (English)
0 references
20 June 2012
0 references
Ergodicity properties of implicit and partially implicit discretization schemes for Langevin equations corresponding to a class of desired stationary distributions are established. It is shown that when used as a proposal for a Metropolis-Hastings scheme, the ergodicity properties are retained. A partially implicit scheme based on local linearization is also analyzed. Examples are provided. For ease of exposition, only the scalar case is considered.
0 references
Langevin equation
0 references
time discretization
0 references
partially implicit methods
0 references
Metropolis-Hastings algorithm
0 references
ergodicity
0 references
0 references
0 references
0 references
