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research article

Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations

Abdulle, Assyr  
•
Pavliotis, Grigorios A.
•
Vilmart, Gilles  
April 1, 2019
Comptes Rendus Mathematique

In this paper, we propose a new approach for sampling from probability measures in, possibly, high-dimensional spaces. By perturbing the standard overdamped Langevin dynamics by a suitable Stratonovich perturbation that preserves the invariant measure of the original system, we show that accelerated convergence to equilibrium and reduced asymptotic variance can be achieved, leading, thus, to a computationally advantageous sampling algorithm. The new perturbed Langevin dynamics is reversible with respect to the target probability measure and, consequently, does not suffer from the drawbacks of the nonreversible Langevin samplers that were introduced in C.-R. Hwang et al. (1993) [1] and studied in, e.g., T. Lelievre et al. (2013) [2] and A.B. Duncan et al. (2016) [3], while retaining all of their advantages in terms of accelerated convergence and reduced asymptotic variance. In particular, the reversibility of the dynamics ensures that there is no oscillatory transient behaviour. The improved performance of the proposed methodology, in comparison to the standard overdamped Langevin dynamics and its nonreversible perturbation, is illustrated on an example of sampling from a two-dimensional warped Gaussian target distribution. Crown Copyright (C) 2019 Published by Elsevier Masson SAS on behalf of Academie des sciences. All rights reserved.

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Type
research article
DOI
10.1016/j.crma.2019.04.008
Web of Science ID

WOS:000468882700007

Author(s)
Abdulle, Assyr  
Pavliotis, Grigorios A.
Vilmart, Gilles  
Date Issued

2019-04-01

Published in
Comptes Rendus Mathematique
Volume

357

Issue

4

Start page

349

End page

354

Subjects

Mathematics

•

reduction

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANMC  
Available on Infoscience
June 18, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/157430
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