Constrained ensemble Langevin Monte Carlo
From MaRDI portal
Publication:2148951
Abstract: The classical Langevin Monte Carlo method looks for samples from a target distribution by descending the samples along the gradient of the target distribution. The method enjoys a fast convergence rate. However, the numerical cost is sometimes high because each iteration requires the computation of a gradient. One approach to eliminate the gradient computation is to employ the concept of ``ensemble." A large number of particles are evolved together so the neighboring particles provide gradient information to each other. In this article, we discuss two algorithms that integrate the ensemble feature into LMC and the associated properties. In particular, we find that if one directly surrogates the gradient using the ensemble approximation, the algorithm, termed Ensemble Langevin Monte Carlo, is unstable due to a high variance term. If the gradients are replaced by the ensemble approximations only in a constrained manner, to protect from the unstable points, the algorithm, termed Constrained Ensemble Langevin Monte Carlo, resembles the classical LMC up to an ensemble error but removes most of the gradient computation.
Recommendations
- Higher order Langevin Monte Carlo algorithm
- Particle Metropolis-adjusted Langevin algorithms
- Analysis of Langevin Monte Carlo via convex optimization
- Sampling from a log-concave distribution with projected Langevin Monte Carlo
- User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient
Cites work
- scientific article; zbMATH DE number 1666084 (Why is no real title available?)
- scientific article; zbMATH DE number 7626720 (Why is no real title available?)
- A dynamical systems framework for intermittent data assimilation
- A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
- Affine invariant interacting Langevin dynamics for Bayesian inference
- An introduction to MCMC for machine learning
- Analysis of Langevin Monte Carlo via convex optimization
- Analysis of the ensemble Kalman filter for inverse problems
- Continuous limits for constrained ensemble Kalman filter
- Ensemble Kalman inversion: mean-field limit and convergence analysis
- Ensemble Kalman methods for inverse problems
- Ensemble Kalman sampler: mean-field limit and convergence analysis
- Ensemble preconditioning for Markov chain Monte Carlo simulation
- Exponential convergence of Langevin distributions and their discrete approximations
- General state space Markov chains and MCMC algorithms
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Langevin diffusions and Metropolis-Hastings algorithms
- Log-concave sampling: Metropolis-Hastings algorithms are fast
- MALA-within-Gibbs samplers for high-dimensional distributions with sparse conditional structure
- Monte Carlo sampling methods using Markov chains and their applications
- Multilevel sequential Monte Carlo samplers
- Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
- On sampling from a log-concave density using kinetic Langevin diffusions
- On the trend to equilibrium for the Fokker-Planck equation: an interplay between physics and functional analysis.
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- The ensemble Kalman filter for combined state and parameter estimation
- Theoretical Guarantees for Approximate Sampling from Smooth and Log-Concave Densities
- User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient
Cited in
(4)- Less interaction with forward models in Langevin dynamics: enrichment and homotopy
- Ensemble-Based Gradient Inference for Particle Methods in Optimization and Sampling
- Extended ensemble Monte Carlo approach to hardly relaxing problems
- CPMC-lab: a Matlab package for constrained path Monte Carlo calculations
This page was built for publication: Constrained ensemble Langevin Monte Carlo
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2148951)
