Accelerate Langevin sampling with birth-death process and exploration component

DOI10.1137/23M1577584MaRDI QIDQ6922522zbMATH OpenFDO

Authors Lezhi Tan, Jianfeng Lu

Publication date 30 September 2025

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1577584

zbMATH Keywords

birth-deathexploration processMarkov chain Monte Carlo

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

Cites work

• Accelerating parallel tempering: quantile tempering algorithm (QuanTA)
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• Ensemble samplers with affine invariance
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• High-dimensional Bayesian inference via the unadjusted Langevin algorithm
• Langevin diffusions and Metropolis-Hastings algorithms
• Methodological and computational aspects of parallel tempering methods in the infinite swapping limit
• Mode jumping proposals in MCMC
• Monte Carlo sampling methods using Markov chains and their applications
• Multimodality of the likelihood in the bivariate seemingly unrelated regressions model
• On geometric convergence for the Metropolis-adjusted Langevin algorithm under simple conditions
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Optimal tuning of the hybrid Monte Carlo algorithm
• Skew Brownian motion and complexity of the ALPS algorithm
• The Variational Gaussian Approximation Revisited
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weight-preserving simulated tempering

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