Noisy gradient flow from a random walk in Hilbert space

DOI10.1007/S40072-014-0029-3MaRDI QIDQ487669zbMATH OpenOpenAlexFDO

Authors Natesh S. Pillai, A. M. Stuart, Alexandre Thiery

Publication date 23 January 2015

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40072-014-0029-3

zbMATH Keywords

Markov chain Monte Carlosimulated annealingoptimisationdiffusion approximation

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Existence theories for problems in abstract spaces (49J27)

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Cites work

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• LONG-TERM BEHAVIOUR OF LARGE MECHANICAL SYSTEMS WITH RANDOM INITIAL DATA
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• Optimization by simulated annealing
• Stochastic Equations in Infinite Dimensions
• Stochastic tools in mathematics and science.
• Thermodynamical approach to the travelling salesman problem: An efficient simulation algorithm
• Variational data assimilation using targetted random walks

Cited in

(9)

• Total variation flow perturbed by gradient linear multiplicative noise
• Analysis of the ensemble Kalman filter for inverse problems
• A function space HMC algorithm with second order Langevin diffusion limit
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Non-stationary phase of the MALA algorithm
• Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
• Diffusion limit for the random walk Metropolis algorithm out of stationarity
• Non-centered parametric variational Bayes’ approach for hierarchical inverse problems of partial differential equations
• Optimization based methods for partially observed chaotic systems

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