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...
| Hlavní autoři: | , , |
|---|---|
| Médium: | Internet publication |
| Jazyk: | English |
| Vydáno: |
2021
|