Using Perturbed Underdamped Langevin Dynamics to Efficiently Sample from Probability Distributions
作者： A. B. Duncan , N. Nüsken , G. A. Pavliotis
DOI: 10.1007/S10955-017-1906-8
关键词:
摘要: In this paper we introduce and analyse Langevin samplers that consist of perturbations the standard underdamped dynamics. The perturbed dynamics is such its invariant measure same as unperturbed We show appropriate choices can lead to have improved properties, at least in terms reducing asymptotic variance. present a detailed analysis new sampler for Gaussian target distributions. Our theoretical results are supported by numerical experiments with non-Gaussian measures.
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