Imperial College London
Alternate

DrAndrewDuncan

Faculty of Natural Sciences, Department of Mathematics

Senior Lecturer in Statistics and Data-Centric Engineering
 
 
 
//

Contact

 

a.duncan

 
 
//

Location

 

6M14Huxley BuildingSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Duncan:2017:10.1007/s10955-017-1906-8,
author = {Duncan, AB and Nusken, N and Pavliotis, GA},
doi = {10.1007/s10955-017-1906-8},
journal = {Journal of Statistical Physics},
pages = {1098--1131},
title = {Using perturbed underdamped langevin dynamics to efficiently sample from probability distributions},
url = {http://dx.doi.org/10.1007/s10955-017-1906-8},
volume = {169},
year = {2017}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - In this paper we introduce and analyse Langevin samplers that consist of perturbations of the standard underdamped Langevin dynamics. The perturbed dynamics is such that its invariant measure is the same as that of the unperturbed dynamics. We show that appropriate choices of the perturbations can lead to samplers that have improved properties, at least in terms of reducing the asymptotic variance. We present a detailed analysis of the new Langevin sampler for Gaussian target distributions. Our theoretical results are supported by numerical experiments with non-Gaussian target measures.
AU  - Duncan,AB
AU  - Nusken,N
AU  - Pavliotis,GA
DO  - 10.1007/s10955-017-1906-8
EP  - 1131
PY  - 2017///
SN  - 1572-9613
SP  - 1098
TI  - Using perturbed underdamped langevin dynamics to efficiently sample from probability distributions
T2  - Journal of Statistical Physics
UR  - http://dx.doi.org/10.1007/s10955-017-1906-8
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000415377700004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - http://hdl.handle.net/10044/1/63415
VL  - 169
ER  -
Download