Second Order Ensemble Langevin Method for Sampling and Inverse Problems

arXiv2208.04506MaRDI QIDQ6407360FDOQ6407360

Authors: Ziming Liu, A. M. Stuart, Yixuan Wang 

Publication date: 8 August 2022

Abstract: We propose a sampling method based on an ensemble approximation of second order Langevin dynamics. The log target density is appended with a quadratic term in an auxiliary momentum variable and damped-driven Hamiltonian dynamics introduced; the resulting stochastic differential equation is invariant to the Gibbs measure, with marginal on the position coordinates given by the target. A preconditioner based on covariance under the law of the dynamics does not change this invariance property, and is introduced to accelerate convergence to the Gibbs measure. The resulting mean-field dynamics may be approximated by an ensemble method; this results in a gradient-free and affine-invariant stochastic dynamical system. Numerical results demonstrate its potential as the basis for a numerical sampler in Bayesian inverse problems.

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