Irreversible Langevin samplers and variance reduction: a large deviations approach

Rey-Bellet, Luc; Spiliopoulos, Konstantinos

doi:10.1088/0951-7715/28/7/2081

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

Authors:: Rey-Bellet, Luc; Spiliopoulos, Konstantinos

Publication Date:: Tue May 19 00:00:00 EDT 2015

Sponsoring Org.:: USDOE

OSTI Identifier:: 1238889

Grant/Contract Number:: ER 26161

Resource Type:: Publisher's Accepted Manuscript

Journal Name:: Nonlinearity

Additional Journal Information:: Journal Name: Nonlinearity Journal Volume: 28 Journal Issue: 7; Journal ID: ISSN 0951-7715

Publisher:: IOP Publishing

Country of Publication:: United Kingdom

Language:: English

Citation Formats


                    Rey-Bellet, Luc, and Spiliopoulos, Konstantinos. Irreversible Langevin samplers and variance reduction: a large deviations approach.  United Kingdom: N. p., 2015. 
Web.  doi:10.1088/0951-7715/28/7/2081.

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                    Rey-Bellet, Luc, & Spiliopoulos, Konstantinos. Irreversible Langevin samplers and variance reduction: a large deviations approach.  United Kingdom.  https://doi.org/10.1088/0951-7715/28/7/2081

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                    Rey-Bellet, Luc, and Spiliopoulos, Konstantinos. Tue .  
"Irreversible Langevin samplers and variance reduction: a large deviations approach".  United Kingdom.  https://doi.org/10.1088/0951-7715/28/7/2081.

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@article{osti_1238889,

  title        = {Irreversible Langevin samplers and variance reduction: a large deviations approach},

  author       = {Rey-Bellet, Luc and Spiliopoulos, Konstantinos},

  abstractNote = {},

  doi          = {10.1088/0951-7715/28/7/2081},

  journal      = {Nonlinearity},

  number       = 7,

  volume       = 28,

  place        = {United Kingdom},

  year         = {Tue May 19 00:00:00 EDT 2015},

  month        = {Tue May 19 00:00:00 EDT 2015}

}

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

Citation Formats

Asymptotic evaluation of certain markov process expectations for large time, II journal, March 1975

On the Infinite Swapping Limit for Parallel Tempering journal, January 2012

Accelerating diffusions journal, May 2005

Representation of divergence-free vector fields journal, March 2011

Optimal Non-reversible Linear Drift for the Convergence to Equilibrium of a Diffusion journal, June 2013

On the convergence of the Markov chain simulation method journal, February 1996

Rates of convergence of the Hastings and Metropolis algorithms journal, February 1996

On the spectral analysis of second-order Markov chains journal, January 2013

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

Asymptotic evaluation of certain markov process expectations for large time, II
journal, March 1975

On the Infinite Swapping Limit for Parallel Tempering
journal, January 2012

Accelerating diffusions
journal, May 2005

Representation of divergence-free vector fields
journal, March 2011

Optimal Non-reversible Linear Drift for the Convergence to Equilibrium of a Diffusion
journal, June 2013

On the convergence of the Markov chain simulation method
journal, February 1996

Rates of convergence of the Hastings and Metropolis algorithms
journal, February 1996

On the spectral analysis of second-order Markov chains
journal, January 2013

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