• Corpus ID: 88523857

Fractional Langevin Monte Carlo: Exploring L\'{e}vy Driven Stochastic Differential Equations for Markov Chain Monte Carlo

  title={Fractional Langevin Monte Carlo: Exploring L\'\{e\}vy Driven Stochastic Differential Equations for Markov Chain Monte Carlo},
  author={Umut cSimcsekli},
Along with the recent advances in scalable Markov Chain Monte Carlo methods, sampling techniques that are based on Langevin diffusions have started receiving increasing attention. These so called Langevin Monte Carlo (LMC) methods are based on diffusions driven by a Brownian motion, which gives rise to Gaussian proposal distributions in the resulting algorithms. Even though these approaches have proven successful in many applications, their performance can be limited by the light-tailed nature… 

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