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Using perturbed underdamped langevin dynamics to efficiently sample from probability distributions
File(s)
Publication available at
Author(s)
Duncan, AB
Nusken, N
Pavliotis, GA
Type
Journal Article
Abstract
In this paper we introduce and analyse Langevin samplers that consist of perturbations of the standard underdamped Langevin dynamics. The perturbed dynamics is such that its invariant measure is the same as that of the unperturbed dynamics. We show that appropriate choices of the perturbations can lead to samplers that have improved properties, at least in terms of reducing the asymptotic variance. We present a detailed analysis of the new Langevin sampler for Gaussian target distributions. Our theoretical results are supported by numerical experiments with non-Gaussian target measures.
Date Issued
2017-12-01
Online Publication Date
2017-12-01
2018-10-17T13:30:44Z
Date Acceptance
2017-10-25
Citation
Journal of Statistical Physics, 2017, 169 (6), pp.1098-1131
URI
DOI
ISSN
1572-9613
Publisher
Springer Verlag
Start Page
1098
End Page
1131
Journal / Book Title
Journal of Statistical Physics
Volume
169
Issue
6
Copyright Statement
© 2017 The Author(s). This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Source Database
web-of-science
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Engineering & Physical Science Research Council (EPSRC)
Engineering & Physical Science Research Council (EPSRC)
Engineering & Physical Science Research Council (EPSRC)
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000415377700004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Grant Number
EP/J009636/1
EP/L025159/1
EP/L020564/1
EP/L024926/1
Subjects
Science & Technology
Physical Sciences
Physics, Mathematical
Physics
ORNSTEIN-UHLENBECK OPERATORS
WHITE-NOISE LIMITS
VARIANCE REDUCTION
MONTE-CARLO
MOLECULAR-DYNAMICS
INVARIANT-MEASURES
DIFFUSIONS
EQUATIONS
SYSTEMS
EQUILIBRIUM
Publication Status
Published
Date Publish Online
2017-11-02