Variance reduction for diffusions

DOI10.1016/j.spa.2015.03.006zbMath1323.60105arXiv1406.4657OpenAlexW2964159988MaRDI QIDQ491924

Raoul Normand, Sheng-Jhih Wu, Chii-Ruey Hwang

Publication date: 19 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4657

zbMATH Keywords

rate of convergenceasymptotic varianceaccelerationdiffusionsMarkov chain Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35) Acceleration of convergence in numerical analysis (65B99)

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Variance reduction using nonreversible Langevin samplers, Improving the convergence of reversible samplers, Some remark on the asymptotic variance in a drift accelerated diffusion, Accelerating planar Ornstein-Uhlenbeck diffusion with suitable drift, Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance, Optimal Variance Reduction for Markov Chain Monte Carlo, Variational principles for asymptotic variance of general Markov processes, Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions, On the convergence time of some non-reversible Markov chain Monte Carlo methods, A note on the asymptotic variance of drift accelerated diffusions, Dirichlet eigenvalue problems of irreversible Langevin diffusion, Large deviations of empirical measures of diffusions in weighted topologies, Variational formulas for asymptotic variance of general discrete-time Markov chains

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