Langevin dynamics with fast perturbation driven by Stratonovich noise for enhancing probability measure sampling
Event details
| Date | 15.05.2024 |
| Hour | 16:00 › 17:00 |
| Speaker | Gilles Vilmart (Uni Geneva) |
| Location |
Bernoulli center
|
| Category | Conferences - Seminars |
| Event Language | English |
We propose a perturbation of Langevin dynamics for enhancing the sampling from probability measures in, possibly, high dimensional spaces. Precisely, by perturbing Langevin dynamics by a suitable Stratonovich noise that preserves the invariant measure of the original system, we show that accelerated convergence to equilibrium and reduced asymptotic variance can be achieved.
This talk is based on joint work with A. Abdulle† and G. A. Pavliotis (Imperial College London).
Practical information
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