Sampling from mixture distributions based on regime-switching diffusions

Abstract

It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the scheme converges with order one in weak sense and also in the ergodic limit. Numerical experiments illustrate the use of SDEwS for sampling from mixture distributions and confirm the theoretical results.

arXiv commentaccepted by SIAM J. Sci. Comp

References in corpus (4)

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• Exponential ergodicity for Markov processes with random switching
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• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions