Improved discretization analysis for underdamped Langevin Monte Carlo

S Zhang, S Chewi, M Li… - The Thirty Sixth …, 2023 - proceedings.mlr.press
Abstract Underdamped Langevin Monte Carlo (ULMC) is an algorithm used to sample from
unnormalized densities by leveraging the momentum of a particle moving in a potential well …

On Explicit -Convergence Rate Estimate for Underdamped Langevin Dynamics

Y Cao, J Lu, L Wang - Archive for Rational Mechanics and Analysis, 2023 - Springer
We provide a refined explicit estimate of the exponential decay rate of underdamped
Langevin dynamics in the L 2 distance, based on a framework developed in Albritton et …

Weighted L 2-contractivity of Langevin dynamics with singular potentials

E Camrud, DP Herzog, G Stoltz, M Gordina - Nonlinearity, 2021 - iopscience.iop.org
Convergence to equilibrium of underdamped Langevin dynamics is studied under general
assumptions on the potential U allowing for singularities. By modifying the direct approach to …

How to construct decay rates for kinetic Fokker--Planck equations?

G Brigati, G Stoltz - arxiv preprint arxiv:2302.14506, 2023 - arxiv.org
We study time averages for the norm of solutions to kinetic Fokker--Planck equations
associated with general Hamiltonians. We provide fully explicit and constructive decay …

Error estimates and variance reduction for nonequilibrium stochastic dynamics

G Stoltz - International Conference on Monte Carlo and Quasi …, 2022 - Springer
Equilibrium properties in statistical physics are obtained by computing averages with respect
to Boltzmann–Gibbs measures, sampled in practice using ergodic dynamics such as the …

Scaling limits for the generalized Langevin equation

GA Pavliotis, G Stoltz, U Vaes - Journal of Nonlinear Science, 2021 - Springer
In this paper, we study the diffusive limit of solutions to the generalized Langevin equation
(GLE) in a periodic potential. Under the assumption of quasi-Markovianity, we obtain sharp …

On explicit -convergence rate estimate for piecewise deterministic Markov processes in MCMC algorithms

J Lu, L Wang - The Annals of Applied Probability, 2022 - projecteuclid.org
We establish L 2-exponential convergence rate for three popular piecewise deterministic
Markov processes for sampling: the randomized Hamiltonian Monte Carlo method, the …

Explicit convergence rates of underdamped Langevin dynamics under weighted and weak Poincar\'e--Lions inequalities

G Brigati, G Stoltz, AQ Wang, L Wang - arxiv preprint arxiv:2407.16033, 2024 - arxiv.org
We study the long-time convergence behavior of underdamped Langevin dynamics, when
the spatial equilibrium satisfies a weighted Poincar\'e inequality, with a general velocity …

Mobility estimation for Langevin dynamics using control variates

GA Pavliotis, G Stoltz, U Vaes - Multiscale Modeling & Simulation, 2023 - SIAM
The scaling of the mobility of two-dimensional Langevin dynamics in a periodic potential as
the friction vanishes is not well understood for nonseparable potentials. Theoretical results …

Parallel simulation for sampling under isoperimetry and score-based diffusion models

H Zhou, M Sugiyama - arxiv preprint arxiv:2412.07435, 2024 - arxiv.org
In recent years, there has been a surge of interest in proving discretization bounds for
sampling under isoperimetry and for diffusion models. As data size grows, reducing the …