Vitenskapelig artikkel

Smoothed Langevin proposals in Metropolis-Hastings algorithms

Skare, Øivind; Benth, Fred Espen; Frigessi, Arnoldo


Tidsskrift: Statistics and Probability Letters, vol. 49, p. 345–354, 2000

Internasjonale standardnumre:
Trykt: 0167-7152
Elektronisk: 1879-2103


The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities π. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities π. We propose a modified MALA algorithm when this condition is not fulfilled or when π has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.