Week 6: Importance Sampling and Metropolis-Hastings' algorithm

 

 

 

Importance sampling, Fokker-Planck and Langevin equations

In a more compact form we have

$$ \frac{\partial W}{\partial s}= -\frac{\partial M_1W}{\partial x}+ \frac{1}{2}\frac{\partial^2 M_2W}{\partial x^2}, $$

which is the Fokker-Planck equation! It is trivial to replace position with velocity (momentum).