The shifted ODE method for underdamped Langevin MCMC

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...

Полное описание

Библиографические подробности
Главные авторы:	Foster, J, Lyons, T, Oberhauser, H
Формат:	Internet publication
Язык:	English
Опубликовано:	2021

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