Sampling normalizing constants in high dimensions using inhomogeneous diffusions

MaRDI QIDQ6281158zbMATH OpenFDO

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.

This page was built for publication: Sampling normalizing constants in high dimensions using inhomogeneous diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6281158)