Hessian corrections to the Metropolis Adjusted Langevin Algorithm
Computation
2015-07-24 v1 Methodology
Abstract
A natural method for the introduction of second-order derivatives of the log likelihood into MCMC algorithms is introduced, based on Taylor expansion of the Langevin equation followed by exact solution of the truncated system.
Cite
@article{arxiv.1507.06336,
title = {Hessian corrections to the Metropolis Adjusted Langevin Algorithm},
author = {Thomas House},
journal= {arXiv preprint arXiv:1507.06336},
year = {2015}
}
Comments
7 pages, 3 figures