Nonreversible Langevin samplers: Splitting schemes, analysis and implementation

AB Duncan, GA Pavliotis, KC Zygalakis - arXiv preprint arXiv:1701.04247, 2017 - arxiv.org
… algorithms based on the Lie-Trotter decomposition of a nonreversible diffusion process
into reversible and nonreversible components. We show that samplers based on this scheme

Variance reduction using nonreversible Langevin samplers

AB Duncan, T Lelievre, GA Pavliotis - Journal of statistical physics, 2016 - Springer
… applicability and relative ease of implementation. In practice, a … In this paper we present a
detailed analytical and … numerical scheme for generating samples of (6), based on splitting

Breaking reversibility accelerates langevin dynamics for non-convex optimization

X Gao, M Gurbuzbalaban, L Zhu - Advances in Neural …, 2020 - proceedings.neurips.cc
… Our analysis suggests that non-reversible LangevinLangevin Monte Carlo are powerful
tools for sampling from a … operators with application to non-reversible metastable diffusion …

Analysis of multiscale integrators for multiple attractors and irreversible Langevin samplers

J Lu, K Spiliopoulos - Multiscale Modeling & Simulation, 2018 - SIAM
… equation, the stiffness of the system is inevitably increased, and thus prevents the application
… We also estimate the asymptotic variance of the sampling scheme by dividing the sampled …

Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions

AB Duncan, N Nüsken, GA Pavliotis - Journal of Statistical Physics, 2017 - Springer
… We present a detailed analysis of the new Langevin sampler for … (7)], the nonreversible
Langevin sampler (7) is never worse that … on the implementation of the proposed samplers for the …

MATHICSE Technical Report: Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations

A Abdulle, GA Pavliotis, G Vilmart - 2019 - infoscience.epfl.ch
… of the nonreversible Langevin samplers that were introduced in [C.-R. Hwang, S.-… of an
appropriate splitting numerical scheme [4]. In this paper, we introduce and analyze an alternative …

Modified hamiltonian monte carlo for bayesian inference

T Radivojević, E Akhmatskaya - Statistics and Computing, 2020 - Springer
… by incorporating importance sampling and an irreversible part of … offers implementation of
several other HMC-based samplers … multistage splitting integration schemes, the analysis tools …

[PDF][PDF] Mix & match hamiltonian monte carlo

T Radivojević, E Akhmatskaya - arXiv preprint arXiv:1706.04032, 2017 - researchgate.net
… by incorporating importance sampling and an irreversible part of … known as the second order
Langevin Monte Carlo (L2MC). … offers implementation of several other HMC based samplers

Piecewise deterministic sampling with splitting schemes

A Bertazzi, P Dobson, P Monmarché - arXiv preprint arXiv:2301.02537, 2023 - arxiv.org
… as Hamiltonian or underdamped Langevin processes [39, 40, … our splitting schemes by
introducing a non-reversible Metrop… The technical nature of our proof also makes the application

[PDF][PDF] Ergodic Stochastic Differential Equations and Sampling: A numerical analysis prespective

KC Zygalakis - 2017 - unige.ch
… for the asymptotic bias of the corresponding splitting method. … scheme inherits the good
properties of the corresponding … to study the properties of non-reversible Langevin samplers