mala_step_size

Parameter for the MALA MCMC algorithm in MUQ

Specification

  • Alias: None

  • Arguments: REAL

  • Default: 1.0

Description

The step size parameter tau in the preconditioned Langevin proposal xCandidate = xCurrent + tau M grad ln pi(xCurrent) + sqrt(2 tau) M^{1/2} z, where M is the proposal covariance and z is a standard normal random variable.