Markov chain Monte Carlo and irreversibility

DOI10.1016/S0034-4877(16)30031-3zbMATH Open1387.60116MaRDI QIDQ339005FDOQ339005

Authors: M. Ottobre 

Publication date: 7 November 2016

Published in: Reports on Mathematical Physics (Search for Journal in Brave)

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zbMATH Keywords

Markov chain Monte CarloHamiltonian Monte Carlohypocoercivitynonreversible diffusions

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (25)

• Optimal variance reduction for Markov chain Monte Carlo
• Analysis of a nonreversible Markov chain sampler.
• Reversible and non-reversible Markov chain Monte Carlo algorithms for reservoir simulation problems
• Non-reversible processes: GENERIC, hypocoercivity and fluctuations
• Constructing sampling schemes via coupling: Markov semigroups and optimal transport
• Coordinate sampler: a non-reversible Gibbs-like MCMC sampler
• Non-reversible Metropolis-Hastings
• Non-reversible Monte Carlo simulations of spin models
• Modified Hamiltonian Monte Carlo for Bayesian inference
• Geometric Integration of Measure-Preserving Flows for Sampling
• Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
• Title not available (Why is that?)
• Improving the convergence of reversible samplers
• Reversibility violation in the hybrid Monte Carlo algorithm
• Irreversible samplers from jump and continuous Markov processes
• On Irreversible Metropolis Sampling Related to Langevin Dynamics
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Direction-sweep Markov chains
• On the convergence time of some non-reversible Markov chain Monte Carlo methods
• Irreversible Langevin MCMC on Lie groups
• Advanced Multilevel Monte Carlo Methods
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets
• Irreversible Monte Carlo algorithms for efficient sampling
• The entropy production of stationary diffusions

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