Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions

DOI10.1007/s10955-017-1906-8zbMath1387.35580arXiv1705.00170OpenAlexW3105693600WikidataQ59615111 ScholiaQ59615111MaRDI QIDQ1703077

Grigorios A. Pavliotis, Nikolas Nüsken, Andrew B. Duncan

Publication date: 1 March 2018

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.00170

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Perturbations in context of PDEs (35B20) Fokker-Planck equations (35Q84)

Related Items (15)

Limit behavior of the invariant measure for Langevin dynamics ⋮ Hypocoercivity with Schur complements ⋮ Pressure statistics from the path integral for Darcy flow through random porous media ⋮ Optimal Variance Reduction for Markov Chain Monte Carlo ⋮ Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations ⋮ Extending the Regime of Linear Response with Synthetic Forcings ⋮ The entropy production of stationary diffusions ⋮ On the Generalized Langevin Equation for Simulated Annealing ⋮ Unbiased Estimation Using Underdamped Langevin Dynamics ⋮ Optimal friction matrix for underdamped Langevin sampling ⋮ On the convergence time of some non-reversible Markov chain Monte Carlo methods ⋮ Affine Invariant Interacting Langevin Dynamics for Bayesian Inference ⋮ Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport ⋮ Stochastic gradient descent and fast relaxation to thermodynamic equilibrium: A stochastic control approach ⋮ Pressure and flow statistics of Darcy flow from simulated annealing

Uses Software

• BayesDA
• EnsembleQN

Cites Work

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