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Arxiv.org
by A. B. Duncan; G. A. Pavliotis; K. C. Zygalakis
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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...
Topics: Computation, Statistics, Methodology
Source: http://arxiv.org/abs/1701.04247