Adaptive Thermostats for Noisy Gradient Systems

DOI10.1137/15M102318XzbMath1382.65019arXiv1505.06889MaRDI QIDQ2790085

Xiaocheng Shang, Benedict J. Leimkuhler

Publication date: 2 March 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.06889

zbMATH Keywords

stochastic differential equations; ergodicity; invariant measure; machine learning; Bayesian sampling; adaptive thermostat

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

65C30: Numerical solutions to stochastic differential and integral equations

37M25: Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.)

Uses Software

• AMBER
• AdResS
• CP2K