22 citations · 45 across the 8 of their papers we have counts for
3 papers · 1 filter
Computing eigenfunctions of the multidimensional Ornstein-Uhlenbeck operator
Benjamin J. Zhang, Tuhin Sahai, Youssef M. Marzouk
We discuss approaches to computing eigenfunctions of the Ornstein--Uhlenbeck (OU) operator in more than two dimensions. While the spectrum of the OU operator and theoretical proper…
Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
Benjamin J. Zhang, Youssef M. Marzouk, Konstantinos Spiliopoulos
We introduce a novel geometry-informed irreversible perturbation that accelerates convergence of the Langevin algorithm for Bayesian computation. It is well documented that there e…
A Koopman framework for rare event simulation in stochastic differential equations
Benjamin Zhang, Tuhin Sahai, Youssef Marzouk
We exploit the relationship between the stochastic Koopman operator and the Kolmogorov backward equation to construct importance sampling schemes for stochastic differential equati…