Imperial College London

Professor Grigorios A. Pavliotis

Faculty of Natural SciencesDepartment of Mathematics

Professor of Applied Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8564g.pavliotis Website

 
 
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Location

 

736aHuxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@unpublished{Duncan:2018,
author = {Duncan, A and Zygalakis, K and Pavliotis, G},
title = {Nonreversible Langevin Samplers: Splitting Schemes, Analysis and Implementation},
url = {https://arxiv.org/abs/1701.04247},
year = {2018}
}

RIS format (EndNote, RefMan)

TY  - UNPB
AB - For a given target density, there exist an infinite number of diffusion processes which are ergodic with respect to this density. As observed in a number of papers, samplers based on nonreversible diffusion processes can significantly outperform their reversible counterparts both in terms of asymptotic variance and rate of convergence to equilibrium. In this paper, we take advantage of this in order to construct efficient sampling 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 can significantly outperform standard MCMC methods, at the cost of introducing some controlled bias. In particular, we prove that numerical integrators constructed according to this decomposition are geometrically ergodic and characterise fully their asymptotic bias and variance, showing that the sampler inherits the good mixing properties of the underlying nonreversible diffusion. This is illustrated further with a number of numerical examples ranging from highly correlated low dimensional distributions, to logistic regression problems in high dimensions as well as inference for spatial models with many latent variables.
AU - Duncan,A
AU - Zygalakis,K
AU - Pavliotis,G
PY - 2018///
TI - Nonreversible Langevin Samplers: Splitting Schemes, Analysis and Implementation
UR - https://arxiv.org/abs/1701.04247
ER -