Improving the convergence of reversible samplers

DOI10.1007/s10955-016-1565-1zbMath1348.82046arXiv1601.08118OpenAlexW2257408096WikidataQ57453402 ScholiaQ57453402MaRDI QIDQ330615

Luc Rey-Bellet, Konstantinos V. Spiliopoulos

Publication date: 26 October 2016

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.08118

zbMATH Keywords

Markov processesasymptotic variancelarge deviationsMonte Carlo samplingirreversibilitydetailed balanceLangevin sampling

Mathematics Subject Classification ID

Related Items (19)

Non-reversible metastable diffusions with Gibbs invariant measure. I: Eyring-Kramers formula ⋮ Gibbsian stationary non-equilibrium states ⋮ Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance ⋮ Optimal Variance Reduction for Markov Chain Monte Carlo ⋮ On Irreversible Metropolis Sampling Related to Langevin Dynamics ⋮ Non-reversible metastable diffusions with Gibbs invariant measure. II: Markov chain convergence ⋮ Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations ⋮ A large deviation principle for the empirical measures of Metropolis-Hastings chains ⋮ 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 ⋮ Large deviations of empirical measures of diffusions in weighted topologies ⋮ Characterizing limits and opportunities in speeding up Markov chain mixing ⋮ Is there an analog of Nesterov acceleration for gradient-based MCMC? ⋮ Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario ⋮ Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport ⋮ Limit theorems for the zig-zag process ⋮ Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics ⋮ Irreversible samplers from jump and continuous Markov processes ⋮ NonReversible Sampling Schemes on Submanifolds

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