Skare, Øivind; Benth, Fred Espen; Frigessi, Arnoldo - In: Statistics & Probability Letters 49 (2000) 4, pp. 345-354
The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities [pi]. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities [pi]. We propose a modified MALA algorithm when...