Hessian corrections to the Metropolis Adjusted Langevin Algorithm
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📊 stat.CO
stat.ME
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langevinadjustedalgorithmalgorithmscorrectionsderivativesequationexact
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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.
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