Irreversible Langevin samplers and variance reduction: a large deviations approach
نویسندگان
چکیده
منابع مشابه
Variance Reduction Using Nonreversible Langevin Samplers
A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a time-averaging estimator. As has been noted in recent papers [30, 37, 61, 72], introducing an appropriately chosen nonreversible component to the dynamics is benef...
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ژورنال
عنوان ژورنال: Nonlinearity
سال: 2015
ISSN: 0951-7715,1361-6544
DOI: 10.1088/0951-7715/28/7/2081