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While the Metropolis Adjusted Langevin Algorithm (MALA) is a popular and widely used Markov chain Monte Carlo method, very few papers derive conditions that ensure its convergence.
A computer simulation of charged particles in solution. i. technique and equilibrium properties
D. L Ermak · 1975
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P. J. Rossky, J. D. Doll, and H. L. Friedman · 1978
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G. Parisi · 1981
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U. Grenander · 1983
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R. M. Neal · 1993
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U. Grenander and M. I. Miller · 1994
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R. Kannan, L. Lovász, and M. Simonovits · 1995
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Exponential convergence of Langevin distributions and their discrete approximations
G. O. Roberts and R. L. Tweedie · 1996
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Estimation of spectral gap for elliptic operators
Mu-Fa Chen and Feng-Yu Wang · 1997
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Optimal scaling of discrete approximations to Langevin diffusions
Gareth O. Roberts and Jeffrey S. Rosenthal · 1998
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Adaptive estimation of a quadratic functional by model selection
B. Laurent and P. Massart · 2000
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L. Lovász and S. Vempala · 2007
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Nonasymptotic mixing of the MALA algorithm
N. Bou-Rabee and M. Hairer · 2013
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Analysis and geometry of Markov diffusion operators
D. Bakry, I. Gentil, and M. Ledoux · 2014
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Partial differential equations and stochastic methods in molecular dynamics
Tony Lelièvre and Gabriel Stoltz · 2016
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On the convergence of Hamiltonian Monte Carlo
A. Durmus, E. Moulines, and E. Saksman · 2017
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Markov chains
R. Douc, E. Moulines, P. Priouret, and P. Soulier · 2018
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Log-concave sampling: Metropolis-hastings algorithms are fast!
R. Dwivedi, Y. Chen, M. J. Wainwright, and B. Yu · 2018
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Quantitative contraction rates for markov chains on general state spaces
A. Eberle and M. B. Majka · 2018
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Diffusion approximations and control variates for mcmc, 2019
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Error bounds for Metropolis–Hastings algorithms applied to perturbations of gaussian measures in high dimensions
A. Eberle · 2014
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Reflection couplings and contraction rates for diffusions
Andreas Eberle · 2015
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Error analysis of the transport properties of Metropolized schemes
Max Fathi, Ahmed-Amine Homman, and Gabriel Stoltz · 2015
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N. Brosse, A. Durmus, S. Meyn, É. Moulines, and A. Radhakrishnan · 2019
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Convergence of diffusions and their discretizations:from continuous to discrete processes and back
V. De Bortoli and A. Durmus · 2019
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Optimal dimension dependence of the metropolis-adjusted langevin algorithm
S. Chewi, C. Lu, K. Ahn, X. Cheng, T. Le Gouic, and P. Rigollet · 2021
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A. Durmus, A. Enfroy, É. Moulines, and G. Stoltz · 2021
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