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Title: Irreversible Langevin samplers and variance reduction: a large deviations approach

Journal Article · · Nonlinearity
;

Sponsoring Organization:
USDOE
Grant/Contract Number:
ER 26161
OSTI ID:
1238889
Journal Information:
Nonlinearity, Journal Name: Nonlinearity Vol. 28 Journal Issue: 7; ISSN 0951-7715
Publisher:
IOP PublishingCopyright Statement
Country of Publication:
United Kingdom
Language:
English
Citation Metrics:
Cited by: 46 works
Citation information provided by
Web of Science

References (26)

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On the convergence of the Markov chain simulation method journal February 1996
Rates of convergence of the Hastings and Metropolis algorithms journal February 1996
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Optimal Spectral Structure of Reversible Stochastic Matrices, Monte Carlo Methods and the Simulation of Markov Random Fields journal August 1992
Accelerating Gaussian Diffusions journal August 1993
Diffusion and mixing in fluid flow journal January 2008
A note on Metropolis-Hastings kernels for general state spaces journal February 1998
Simplified models for turbulent diffusion: Theory, numerical modelling, and physical phenomena journal June 1999
The behavior of the spectral gap under growing drift journal October 2009
An infinite swapping approach to the rare-event sampling problem journal October 2011
Asymptotic evaluation of certain markov process expectations for large time, I journal January 1975
Convergence Rates of the Gibbs Sampler, the Metropolis Algorithm and Other Single-Site Updating Dynamics journal September 1993
Comparing sweep strategies for stochastic relaxation journal May 1991
Optimal scaling of Metropolis algorithms: Heading toward general target distributions journal December 2008
Optimum Monte-Carlo sampling using Markov chains journal January 1973
On Large Deviations from the Invariant Measure journal December 1977
Asymptotic evaluation of certain Markov process expectations for large time—III journal July 1976
General state space Markov chains and MCMC algorithms journal January 2004
Monte Carlo Methods book January 2000
Ordering and Improving the Performance of Monte Carlo Markov Chains journal November 2001
Interior estimates for elliptic systems of partial differential equations journal November 1955

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