Sampling normalizing constants in high dimensions using inhomogeneous diffusions

arXiv1612.07583MaRDI QIDQ6281158FDOQ6281158

Authors: Christophe Andrieu, James Ridgway, Nick Whiteley 

Publication date: 22 December 2016

Abstract: Motivated by the task of computing normalizing constants and importance sampling in high dimensions, we study the dimension dependence of fluctuations for additive functionals of time-inhomogeneous Langevin-type diffusions on $mathbb{R}^d$. The main results are nonasymptotic variance and bias bounds, and a central limit theorem in the $doinfty$ regime. We demonstrate that a temporal discretization inherits the fluctuation properties of the underlying diffusion, which are controlled at a computational cost growing at most polynomially with $d$. The key steps include establishing Poincar'e inequalities for time-marginal distributions of the diffusion and nonasymptotic bounds on deviation from Gaussianity in a martingale central limit theorem.

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