Hypocoercivity Properties of Adaptive Langevin Dynamics

DOI10.1137/19M1291649zbMath1434.60236arXiv1908.09363OpenAlexW3013423309MaRDI QIDQ5110577

Matthias Sachs, Gabriel Stoltz, Benedict J. Leimkuhler

Publication date: 21 May 2020

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.09363

zbMATH Keywords

samplingLangevin dynamicsBayesian inferencehypocoercivityNosé-Hooverstochastic gradients

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Numerical solutions to stochastic differential and integral equations (65C30) Applications of functional analysis in probability theory and statistics (46N30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fokker-Planck equations (35Q84)

Related Items (8)

Hypocoercivity with Schur complements ⋮ A functional law of the iterated logarithm for weakly hypoelliptic diffusions at time zero ⋮ Random Batch Sum-of-Gaussians Method for Molecular Dynamics Simulations of Particle Systems ⋮ On explicit \(L^2\)-convergence rate estimate for underdamped Langevin dynamics ⋮ Friction-adaptive descent: a family of dynamics-based optimization methods ⋮ Ergodicity and long-time behavior of the Random Batch Method for interacting particle systems ⋮ The method of stochastic characteristics for linear second-order hypoelliptic equations ⋮ Accurate and Efficient Splitting Methods for Dissipative Particle Dynamics

Uses Software

• MNIST

Cites Work

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