Accelerating diffusions

Chii-Ruey Hwang, Shu-Yin Hwang-Ma, Shuenn-Jyi Sheu

Let U be a given function defined on R^d and π(x) be a density function proportional to \exp -U(x). The following diffusion X(t) is often used to sample from π(x), dX(t)=-\nabla U(…