Particle Metropolis-adjusted Langevin algorithms
نویسندگان
چکیده
منابع مشابه
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
(First draft March 2005; revised November 2005) Abstract This paper extends some adaptive schemes that have been developed for the Random Walk Metropolis algorithm to more general versions of the Metropolis-Hastings (MH) algorithm, particularly to the Metropolis Adjusted Langevin algorithm of Roberts and Tweedie (1996). Our simulations show that the adaptation drastically improves the performan...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2016
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asw020