Abstract
We introduce new Gaussian proposals to improve the efficiency of the standard Hastings–Metropolis algorithm in Markov chain Monte Carlo (MCMC) methods, used for the sampling from a target distribution in large dimension
Citation
Alain Durmus. Gareth O. Roberts. Gilles Vilmart. Konstantinos C. Zygalakis. "Fast Langevin based algorithm for MCMC in high dimensions." Ann. Appl. Probab. 27 (4) 2195 - 2237, August 2017. https://doi.org/10.1214/16-AAP1257
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