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Variance reduction Using nonreversible Langevin samplers

journal contribution
posted on 2023-06-09, 06:42 authored by A B Duncan, T Lelièvre, G A Pavliotis
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 beneficial, both in terms of reducing the asymptotic variance and of speeding up convergence to the target distribution. In this paper we present a detailed study of the dependence of the asymptotic variance on the deviation from reversibility. Our theoretical findings are supported by numerical simulations.

History

Publication status

  • Published

File Version

  • Published version

Journal

Journal of Statistical Physics

ISSN

0022-4715

Issue

3

Volume

163

Page range

457-491

Department affiliated with

  • Mathematics Publications

Research groups affiliated with

  • Probability and Statistics Research Group Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2017-06-15

First Compliant Deposit (FCD) Date

2017-06-15

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