136 citations · 308 across the 13 of their papers we have counts for
17 papers
Sticky nonlinear SDEs and convergence of McKean-Vlasov equations without confinement
Alain Durmus, Andreas Eberle, Arnaud Guillin +1
We develop a new approach to study the long time behaviour of solutions to nonlinear stochastic differential equations in the sense of McKean, as well as propagation of chaos for t…
Asymptotic bias of inexact Markov Chain Monte Carlo methods in high dimension
Alain Oliviero Durmus, Andreas Eberle
Inexact Markov Chain Monte Carlo methods rely on Markov chains that do not exactly preserve the target distribution. Examples include the unadjusted Langevin algorithm (ULA) and un…
Mixing Time Guarantees for Unadjusted Hamiltonian Monte Carlo
Nawaf Bou-Rabee, Andreas Eberle
We provide quantitative upper bounds on the total variation mixing time of the Markov chain corresponding to the unadjusted Hamiltonian Monte Carlo (uHMC) algorithm. For two genera…
Discrete sticky couplings of functional autoregressive processes
Alain Durmus, Andreas Eberle, Aurélien Enfroy +2
In this paper, we provide bounds in Wasserstein and total variation distances between the distributions of the successive iterates of two functional autoregressive processes with i…
Couplings for Andersen Dynamics
Nawaf Bou-Rabee, Andreas Eberle
Andersen dynamics is a standard method for molecular simulations, and a precursor of the Hamiltonian Monte Carlo algorithm used in MCMC inference. The stochastic process correspond…
Two-scale coupling for preconditioned Hamiltonian Monte Carlo in infinite dimensions
Nawaf Bou-Rabee, Andreas Eberle
We derive non-asymptotic quantitative bounds for convergence to equilibrium of the exact preconditioned Hamiltonian Monte Carlo algorithm (pHMC) on a Hilbert space. As a consequenc…