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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,...

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Detalles Bibliográficos
Autores principales: Duncan, A. B., Lelièvre, T., Pavliotis, G. A.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2016
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4939425/
https://www.ncbi.nlm.nih.gov/pubmed/27453589
http://dx.doi.org/10.1007/s10955-016-1491-2

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