Umut Şimşekli

Fractional Langevin Monte Carlo: Exploring Levy Driven Stochastic Differential Equations for Markov Chain Monte Carlo

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…