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math.PR2016
Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions
Gareth O. Roberts, Jeffrey S. Rosenthal
We provide quantitative bounds on the convergence to stationarity of real-valued Langevin diffusions with symmetric target densities.
math.PR2016★ 2 cited
Optimal scaling of the Random Walk Metropolis algorithm under Lp mean differentiability
Alain Durmus, Sylvain Le Corff, Eric Moulines +1
This paper considers the optimal scaling problem for high-dimensional random walk Metropolis algorithms for densities which are differentiable in Lp mean but which may be irregular…