Irreversible Langevin MCMC on Lie groups

DOI10.1007/978-3-030-26980-7_18zbMath1458.65004arXiv1903.08939OpenAlexW2970850793MaRDI QIDQ2305221

Alexis Arnaudon, So Takao, Alessandro Barp

Publication date: 10 March 2020

Full work available at URL: https://arxiv.org/abs/1903.08939

zbMATH Keywords

samplingLie groupsLangevin dynamicsMCMCgeometric mechanicsHamiltonian Monte Carloirreversible diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Relations of infinite-dimensional Hamiltonian and Lagrangian dynamical systems with infinite-dimensional Lie algebras and other algebraic structures (37K30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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