Irreversible Langevin samplers and variance reduction: a large deviations approach

DOI10.1088/0951-7715/28/7/2081zbMath1338.60086arXiv1404.0105OpenAlexW3102325779WikidataQ57453404 ScholiaQ57453404MaRDI QIDQ2944157

Luc Rey-Bellet, Konstantinos V. Spiliopoulos

Publication date: 28 August 2015

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.0105

zbMATH Keywords

Langevin equationlarge deviationsvariance reductionnon-reversibilityMonte Carlo Markov chain method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Large deviations (60F10)

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