Information-Geometric Markov Chain Monte Carlo Methods Using Diffusions

@article{Livingstone2014InformationGeometricMC,
  title={Information-Geometric Markov Chain Monte Carlo Methods Using Diffusions},
  author={Samuel Livingstone and Mark A. Girolami},
  journal={Entropy},
  year={2014},
  volume={16},
  pages={3074-3102}
}
Recent work incorporating geometric ideas in Markov chain Monte Carlo is reviewed in order to highlight these advances and their possible application in a range of domains beyond statistics. A full exposition of Markov chains and their use in Monte Carlo simulation for statistical inference and molecular dynamics is provided, with particular emphasis on methods based on Langevin diffusions. After this, geometric concepts in Markov chain Monte Carlo are introduced. A full derivation of the… CONTINUE READING

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