Accelerating diffusions
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Abstract: Let U be a given function defined on R^d and pi(x) be a density function proportional to exp -U(x). The following diffusion X(t) is often used to sample from pi(x), dX(t)=-
abla U(X(t)) dt+sqrt2 dW(t),qquad X(0)=x_0. To accelerate the convergence, a family of diffusions with pi(x) as their common equilibrium is considered, dX(t)=�igl(- abla U(X(t))+C(X(t))�igr) dt+sqrt2 dW(t),qquad X(0)=x_0. Let L_C be the corresponding infinitesimal generator. The spectral gap of L_C in L^2(pi) (lambda (C)), and the convergence exponent of X(t) to pi in variational norm ( ho(C)), are used to describe the convergence rate, where lambda(C)= Sup{real part of mudvtxmu is in the spectrum of L_C, mu is not zero}, {-2.8cm} ho(C) = Inf�iggl{ hodvtxint | p(t,x,y) -pi(y)| dy le g(x) e^{ ho t}�iggr}.Roughly speaking, L_C is a perturbation of the self-adjoint L_0 by an antisymmetric operator Ccdot
abla, where C is weighted divergence free. We prove that lambda (C)le lambda (0) and equality holds only in some rare situations. Furthermore, ho(C)le lambda (C) and equality holds for C=0. In other words, adding an extra drift, C(x), accelerates convergence. Related problems are also discussed.
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