Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion
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Publication:368675
DOI10.1007/S10955-013-0769-XzbMATH Open1276.82042arXiv1212.0876OpenAlexW2096953755MaRDI QIDQ368675FDOQ368675
Authors: Francis Nier, G. A. Pavliotis, Tony Lelièvre 
Publication date: 23 September 2013
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Abstract: We consider non-reversible perturbations of reversible diffusions that do not alter the invariant distribution and we ask whether there exists an optimal perturbation such that the rate of convergence to equilibrium is maximized. We solve this problem for the case of linear drift by proving the existence of such optimal perturbations and by providing an easily implementable algorithm for constructing them. We discuss in particular the role of the prefactor in the exponential convergence estimate. Our rigorous results are illustrated by numerical experiments.
Full work available at URL: https://arxiv.org/abs/1212.0876
Recommendations
Diffusion processes (60J60) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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