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Publication 23-CNA-004
Speeding Up Langevin Dynamics By Mixing Alexander Christie Yuanyuan Feng Gautam Iyer Alexei Novikov We provide one construction of an exponentially mixing drift, although with rate constants whose k-dependence is unknown. Heuristics (from discrete time) suggest that k-dependence of the mixing rate is such that the imposed drift is of size O(d/k3). The large amplitude of the imposed drift increases the numerical complexity, and thus we expect this method will be most useful in the initial phase of Monte Carlo methods to rapidly explore the state space. Get the paper in its entirety as 23-CNA-004.pdf |