Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states (Q4958848): Difference between revisions

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scientific article; zbMATH DE number 7395682

Language	Label	Description	Also known as
English	Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states	scientific article; zbMATH DE number 7395682

Statements

instance of

scholarly article

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title

Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states (English)

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ESAIM: Mathematical Modelling and Numerical Analysis

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publication date

15 September 2021

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full work available at URL

https://arxiv.org/abs/1910.02479

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zbMATH Keywords

non-equilibrium steady states

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linear response

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stochastic differential equations

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likelihood ratio method

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variance reduction

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MaRDI profile type

Publication

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cites work

Stochastic simulation: Algorithms and analysis

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Computation of sensitivities for the invariant measure of a parameter dependent diffusion

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

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Ergodic Properties of Markov Processes

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On the functional central limit theorem and the law of the iterated logarithm for Markov processes

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Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions

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Nonasymptotic mixing of the MALA algorithm

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Statistical Mechanics of Nonequilibrium Liquids

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Error analysis of the transport properties of Metropolized schemes

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Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics

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Elliptic partial differential equations of second order

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Q4433608

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Likelihood Ratio Gradient Estimation for Steady-State Parameters

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Yet Another Look at Harris’ Ergodic Theorem for Markov Chains

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Recurrence and invariant measures for degenerate diffusions

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Weak backward error analysis for Langevin process

0 references

The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics

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Partial differential equations and stochastic methods in molecular dynamics

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Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations

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Markov chains and stochastic stability

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Error analysis of modified Langevin dynamics

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Simulation and the Monte Carlo Method

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Q4786851

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Q3559733

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Steady-State Sensitivity Analysis of Continuous Time Markov Chains

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Efficiency of the Girsanov Transformation Approach for Parametric Sensitivity Analysis of Stochastic Chemical Kinetics

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Identifiers

DOI

10.1051/m2an/2020050

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4958848

@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Computation of sensitivities for the invariant measure of a parameter dependent diffusion
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Ergodic Properties of Markov Processes
@@ Property / cites work: Ergodic Properties of Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the functional central limit theorem and the law of the iterated logarithm for Markov processes
+Normal rank
@@ Property / cites work @@
+Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
+Normal rank
@@ Property / cites work @@
+Nonasymptotic mixing of the MALA algorithm
@@ Property / cites work: Nonasymptotic mixing of the MALA algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Mechanics of Nonequilibrium Liquids
@@ Property / cites work: Statistical Mechanics of Nonequilibrium Liquids / rank @@
+Normal rank
@@ Property / cites work @@
+Error analysis of the transport properties of Metropolized schemes
+Normal rank
@@ Property / cites work @@
+Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics
+Normal rank
@@ Property / cites work @@
+Elliptic partial differential equations of second order
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Gradient Estimation for Steady-State Parameters
+Normal rank
@@ Property / cites work @@
+Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
+Normal rank
@@ Property / cites work @@
+Recurrence and invariant measures for degenerate diffusions
+Normal rank
@@ Property / cites work @@
+Weak backward error analysis for Langevin process
@@ Property / cites work: Weak backward error analysis for Langevin process / rank @@
+Normal rank
@@ Property / cites work @@
+The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
+Normal rank
@@ Property / cites work @@
+Partial differential equations and stochastic methods in molecular dynamics
+Normal rank
@@ Property / cites work @@
+Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
+Normal rank
@@ Property / cites work @@
+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
+Normal rank
@@ Property / cites work @@
+Error analysis of modified Langevin dynamics
@@ Property / cites work: Error analysis of modified Langevin dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation and the Monte Carlo Method
@@ Property / cites work: Simulation and the Monte Carlo Method / rank @@
+Normal rank
@@ Property / cites work @@
+Q4786851
@@ Property / cites work: Q4786851 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3559733
@@ Property / cites work: Q3559733 / rank @@
+Normal rank
@@ Property / cites work @@
+Steady-State Sensitivity Analysis of Continuous Time Markov Chains
+Normal rank
@@ Property / cites work @@
+Efficiency of the Girsanov Transformation Approach for Parametric Sensitivity Analysis of Stochastic Chemical Kinetics
+Normal rank