Using Approximative Methods in Riemann Manifold Metropolis Adjusted Langevin Algorithm
When sampling from target densities with high correlation using the Metropolis-Hastings algorithm, performance can be improved by considering a discretization of a Langevin diffusion defined on the Riemann manifold as proposal mechanism. Through the metric tensor of the manifold, it is possible to capture the curvature of the parameter space and adjust for the correlation and differences in magnit