About: Metropolis-adjusted Langevin algorithm

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In computational statistics, the Metropolis-adjusted Langevin algorithm (MALA) or Langevin Monte Carlo (LMC) is a Markov chain Monte Carlo (MCMC) method for obtaining random samples – sequences of random observations – from a probability distribution for which direct sampling is difficult. As the name suggests, MALA uses a combination of two mechanisms to generate the states of a random walk that has the target probability distribution as an invariant measure:

Attributes	Values
rdfs:label	Metropolis-adjusted Langevin algorithm (en)
rdfs:comment	In computational statistics, the Metropolis-adjusted Langevin algorithm (MALA) or Langevin Monte Carlo (LMC) is a Markov chain Monte Carlo (MCMC) method for obtaining random samples – sequences of random observations – from a probability distribution for which direct sampling is difficult. As the name suggests, MALA uses a combination of two mechanisms to generate the states of a random walk that has the target probability distribution as an invariant measure: (en)
dcterms:subject	Monte Carlo methods Markov chain Monte Carlo Sampling techniques
Wikipage page ID	49312612 (xsd:integer)
Wikipage revision ID	1074347589 (xsd:integer)
Link from a Wikipage to another Wikipage	Probability distribution Pseudo-random number sampling Metropolis–Hastings algorithm Detailed balance Monte Carlo methods Julian Besag Richard Tweedie Invariant measure Continuous uniform distribution Gareth Roberts (statistician) Gradient Multivariate normal distribution Markov chain Monte Carlo Sampling techniques Computational statistics Hamiltonian Monte Carlo Identity matrix Langevin dynamics Expected value Itô diffusion Probability density function Preconditioning Isotropy Jeff Rosenthal Covariance matrix Manifold Brownian motion Random walk Markov chain Monte Carlo Euler–Maruyama method Independent and identically distributed Overdamped dbr:Smart_Monte_Carlo
sameAs	Metropolis-adjusted Langevin algorithm Metropolis-adjusted Langevin algorithm Metropolis-adjusted Langevin algorithm
dbp:wikiPageUsesTemplate	dbt:Short_description
has abstract	In computational statistics, the Metropolis-adjusted Langevin algorithm (MALA) or Langevin Monte Carlo (LMC) is a Markov chain Monte Carlo (MCMC) method for obtaining random samples – sequences of random observations – from a probability distribution for which direct sampling is difficult. As the name suggests, MALA uses a combination of two mechanisms to generate the states of a random walk that has the target probability distribution as an invariant measure: * new states are proposed using (overdamped) Langevin dynamics, which use evaluations of the gradient of the target probability density function; * these proposals are accepted or rejected using the Metropolis–Hastings algorithm, which uses evaluations of the target probability density (but not its gradient). Informally, the Langevin dynamics drive the random walk towards regions of high probability in the manner of a gradient flow, while the Metropolis–Hastings accept/reject mechanism improves the mixing and convergence properties of this random walk. MALA was originally proposed by Julian Besag in 1994, (although the method was already introduced in 1978 ) and its properties were examined in detail by Gareth Roberts together with Richard Tweedie and Jeff Rosenthal. Many variations and refinements have been introduced since then, e.g. the manifold variant of Girolami and Calderhead (2011). The method is equivalent to using the Hamiltonian Monte Carlo (hybrid Monte Carlo) algorithm with only a single discrete time step. (en)
prov:wasDerivedFrom	wikipedia-en:Metropolis-adjusted_Langevin_algorithm?oldid=1074347589&ns=0
page length (characters) of wiki page	7883 (xsd:nonNegativeInteger)
foaf:isPrimaryTopicOf	wikipedia-en:Metropolis-adjusted_Langevin_algorithm
is Link from a Wikipage to another Wikipage of	Metropolis–Hastings algorithm Preconditioned Crank–Nicolson algorithm Mala Hamiltonian Monte Carlo Markov chain Monte Carlo
is Wikipage disambiguates of	Mala
is foaf:primaryTopic of	wikipedia-en:Metropolis-adjusted_Langevin_algorithm

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