The shifted ODE method for underdamped Langevin MCMC
In this paper, we consider the underdamped Langevin diffusion (ULD) and propose a numerical approximation using its associated ordinary differential equation (ODE). When used as a Markov Chain Monte Carlo (MCMC) algorithm, we show that the ODE approximation achieves a 2-Wasserstein error of ε in O(d...
| Main Authors: | , , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
2021
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