Optimal friction matrix for underdamped Langevin sampling

DOI10.1051/m2an/2023083arXiv2112.06844MaRDI QIDQ6181262

Tony Lelièvre, Grigorios A. Pavliotis, Nikolas Kantas, Unnamed Author

Publication date: 22 January 2024

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.06844

zbMATH Keywords

asymptotic variancePoisson equationvariance reductionLangevin dynamicsself-tuning algorithm

Mathematics Subject Classification ID

Bayesian inference (62F15) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Variance reduction using nonreversible Langevin samplers
• Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion
• Degenerate Fokker-Planck equations: Bismut formula, gradient estimate and Harnack inequality
• Sampling conditioned hypoelliptic diffusions
• Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
• Optimal linear drift for the speed of convergence of an hypoelliptic diffusion
• Malliavin matrix of degenerate SDE and gradient estimate
• Simulation of conditioned diffusion and application to parameter estimation
• Non-equilibrium statistical mechanics of strongly anharmonic chains of oscillators.
• Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
• Hypoelliptic estimates and spectral theory for Fokker-Planck operators and Witten Laplacians
• Applications of Malliavin calculus to Monte Carlo methods in finance
• The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction
• On sampling from a log-concave density using kinetic Langevin diffusions
• Variance reduction for Markov chains with application to MCMC
• High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion
• Control variates for stochastic gradient MCMC
• Analysis of SPDEs arising in path sampling. II: The nonlinear case
• Analysis of SPDEs arising in path sampling. I: The Gaussian case
• Hypoelliptic second order differential equations
• The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
• Central limit theorems for additive functionals of ergodic Markov diffusions processes
• Asymptotic analysis of the Green-Kubo formula
• Calculating the Greeks by cubature formulae
• MCMC METHODS FOR DIFFUSION BRIDGES
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Rational Construction of Stochastic Numerical Methods for Molecular Sampling
• Trend to equilibrium and particle approximation for a weakly selfconsistent Vlasov-Fokker-Planck equation
• Some Remarks on Preconditioning Molecular Dynamics
• Stochastic Processes and Applications
• Fluctuations in Markov Processes
• Some methods of speeding up the convergence of iteration methods
• Partial differential equations and stochastic methods in molecular dynamics
• Stochastic Gradient Markov Chain Monte Carlo
• Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups
• On the Generalized Langevin Equation for Simulated Annealing
• Almost sure contraction for diffusions on \(\mathbb{R}^d\). Application to generalized Langevin diffusions

This page was built for publication: Optimal friction matrix for underdamped Langevin sampling