71 citations · 137 across the 24 of their papers we have counts for
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math.PR2016★ 1 cited
Non-stationary phase of the MALA algorithm
J. Kuntz, M. Ottobre, A. M. Stuart
The Metropolis-Adjusted Langevin Algorithm (MALA) is a Markov Chain Monte Carlo method which creates a Markov chain reversible with respect to a given target distribution, pi^N, wi…
math.PR2016★ 23 cited
Bounding stationary averages of polynomial diffusions via semidefinite programming
Juan Kuntz, Michela Ottobre, Guy-Bart Stan +1
We introduce an algorithm based on semidefinite programming that yields increasing (resp. decreasing) sequences of lower (resp. upper) bounds on polynomial stationary averages of d…