4 papers · 1 filter
Regime-Switching Langevin Monte Carlo Algorithms
Xiaoyu Wang, Yingli Wang, Lingjiong Zhu
Langevin Monte Carlo (LMC) algorithms are popular Markov Chain Monte Carlo (MCMC) methods to sample a target probability distribution, which arises in many applications in machine…
Accelerating Constrained Sampling: A Large Deviations Approach
Yingli Wang, Changwei Tu, Xiaoyu Wang +1
The problem of sampling a target probability distribution on a constrained domain arises in many applications including machine learning. For constrained sampling, various Langevin…
Non-Reversible Langevin Algorithms for Constrained Sampling
Hengrong Du, Qi Feng, Changwei Tu +2
We consider the constrained sampling problem where the goal is to sample from a target distribution on a constrained domain. We propose skew-reflected non-reversible Langevin dynam…
VIX options in the SABR model
Dan Pirjol, Lingjiong Zhu
We study the pricing of VIX options in the SABR model where are standard Brownian motions correlated with correlation and $…