Attaining the optimal Gaussian diffusion acceleration

DOI10.1007/S10955-014-0963-5zbMath1297.82028OpenAlexW2160891155WikidataQ57442781 ScholiaQ57442781MaRDI QIDQ2511517

Sheng-Jhih Wu, Chii-Ruey Hwang, Moody T. Chu

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1007/s10955-014-0963-5

zbMATH Keywords

Ornstein-Uhlenbeck processinverse eigenvalue problemconvergence to equilibriumrecursive algorithmMarkov chain Monte Carlo method (MCMC)\(t\)-circulant matricesdiffusion acceleration

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Inverse problems in linear algebra (15A29) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (10)

Curl flux induced drift in stochastic differential equations in the zero-mass limit ⋮ Limit behavior of the invariant measure for Langevin dynamics ⋮ Variance reduction using nonreversible Langevin samplers ⋮ Heat kernels for generalized Ornstein–Uhlenbeck operators ⋮ Optimal Variance Reduction for Markov Chain Monte Carlo ⋮ The entropy production of stationary diffusions ⋮ Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions ⋮ Characterising the nonequilibrium stationary states of Ornstein–Uhlenbeck processes ⋮ Generalizing Parallel Replica Dynamics: Trajectory Fragments, Asynchronous Computing, and PDMPs ⋮ Irreversible samplers from jump and continuous Markov processes

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