Category: Research
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Notes regarding LMC and a bivariate Gaussian simulation example
LMC Bivariate Gaussian Example LMC Bivariate Gaussian Example Nabarun Deb, Ursula Guo, University of Chicago 05-28-2024 A simple 2d case of Gaussian simulation using Langevin Monte Carlo algorithm References A simple 2d case of Gaussian simulation using Langevin Monte Carlo algorithm Here’s the set up of multivariate Gaussian for a simple 2d example. Let X… Read more
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LMC simulation and failure without burn-in
LMC In [ ]: import numpy as np import pandas as pd import math from scipy.stats import norm import scipy.stats as stats import matplotlib.pyplot as plt In [ ]: def LMC(n: int, eta: float, x=None) -> float: ”’Inputs: n is the total number of iterations; eta is the step size; x is the starting x; Output: the nth number… Read more