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Variance Reduction Using Nonreversible Langevin Samplers
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,...
Guardat en:
| Publicat a: | J Stat Phys |
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| Autors principals: | , , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Springer US
2016
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4939425/ https://ncbi.nlm.nih.gov/pubmed/27453589 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s10955-016-1491-2 |
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