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If you look at the wikipedia explanation of Metropolis adjusted Langevin Algorithm, the acceptance ratio is given by enter image description here

The second equation involves taking the gradient of the log of $\pi(x)$. However, the whole reason for doing MCMC is that you do not know the exact formula for $\pi(x)$, only within a multiplicative constant. That's why take the ratio as shown in the 1st equation is ok.

So how do you implement MALA given this limitation?

Xi'an
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bhomass
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2 Answers2

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If you know $\pi(\cdot)$ up to a constant, a requirement for Metropolis-Hastings algorithms, the gradient $$\nabla \log \pi(\cdot)$$is also independent from this constant.

Xi'an
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Expanding on Xi'an's answer, if $\pi(x) = c f(x)$, where $c$ is the unknown normalizing constant, then \begin{align*} \pi(x) & = c f(x)\\ \log \pi(x) & = \log(c) + \log f(x)\\ \Delta\log \pi(x) &= \Delta \log f(x). \end{align*}

Thus, the normalizing constant is not required.

Greenparker
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