Variance reduction for irreversible Langevin samplers and diffusion on graphs

DOI10.1214/ECP.v20-3855zbMath1347.60015arXiv1410.0255WikidataQ57453406 ScholiaQ57453406MaRDI QIDQ2517240

Luc Rey-Bellet, Konstantinos V. Spiliopoulos

Publication date: 17 August 2015

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.0255

zbMATH Keywords

Monte Carlo methodgraphsdiffusionsvariance reductionconvergence to equilibriumirreversibilityLangevin samplers

Mathematics Subject Classification ID

Related Items (13)

Variance reduction using nonreversible Langevin samplers ⋮ Improving the convergence of reversible samplers ⋮ Markov chain Monte Carlo and irreversibility ⋮ Optimal Variance Reduction for Markov Chain Monte Carlo ⋮ Reversible and non-reversible Markov chain Monte Carlo algorithms for reservoir simulation problems ⋮ A large deviation principle for the empirical measures of Metropolis-Hastings chains ⋮ Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets ⋮ Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions ⋮ Analysis of Multiscale Integrators for Multiple Attractors and Irreversible Langevin Samplers ⋮ Large deviations for the skew-detailed-balance lifted-Markov processes to sample the equilibrium distribution of the Curie–Weiss model ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Limit theorems for the zig-zag process ⋮ Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics

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