Unbiased Estimation Using Underdamped Langevin Dynamics
From MaRDI portal
Publication:6141730
DOI10.1137/22m1503385zbMath1529.60052arXiv2206.07202OpenAlexW4389347517MaRDI QIDQ6141730
Ajay Jasra, Neil K. Chada, Hamza M. Ruzayqat
Publication date: 20 December 2023
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.07202
Computational methods in Markov chains (60J22) Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Ginzburg-Landau equations (35Q56)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An introduction to the Ginzburg-Landau theory of phase transitions and nonequilibrium patterns
- Unbiased estimation of the solution to Zakai's equation
- Langevin diffusions and Metropolis-Hastings algorithms
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- Markov chain simulation for multilevel Monte Carlo
- Unbiased estimation using a class of diffusion processes
- Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
- Exact simulation of diffusions
- Coupling and convergence for Hamiltonian Monte Carlo
- Unbiased Estimation with Square Root Convergence for SDE Models
- The double-well potential in quantum mechanics: a simple, numerically exact formulation
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Exact sampling with coupled Markov chains and applications to statistical mechanics
- A mean field view of the landscape of two-layer neural networks
- Unbiased Estimators and Multilevel Monte Carlo
- Unbiased Hamiltonian Monte Carlo with couplings
- Kinetic energy choice in Hamiltonian/hybrid Monte Carlo
- Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions
- Unbiased filtering of a class of partially observed diffusions
- Unbiased Markov Chain Monte Carlo Methods with Couplings
- Stochastic Processes and Applications
- Exact estimation for Markov chain equilibrium expectations
- A general method for debiasing a Monte Carlo estimator
- Theoretical Guarantees for Approximate Sampling from Smooth and Log-Concave Densities
- On Unbiased Estimation for Discretized Models
