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Activity Number: 531 - SPEED: Statistical Computing: Methods, Implementation, and Application, Part 2
Type: Contributed
Date/Time: Wednesday, July 31, 2019 : 11:35 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract #307943
Title: Sampling Using Langevin Diffusion
Author(s): Riddhiman Bhattacharya*
Companies: University of Minnesota
Keywords: Langevin; MCMC; diffusion

We study the Langevin diffusion and the underdamped Langevin diffusion when the log of the target is smooth and strongly concave. We present the Ozaki discretization MCMC algorithm and compare it with the Euler discretization algorithm both theoretically and computationally. We also compare both these algorithms to the Random Walk Metropolis Hastings Algorithm in the aforementioned ways. We also examine the algorithm as the time horizon goes to infinity at different rates.

Authors who are presenting talks have a * after their name.

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