4 papers
Accelerated Schrödinger-Föllmer samplers
Haotian Lin, Xiaojie Wang, Xiaoyan Zhang
Sampling is a fundamental algorithmic task in wide-ranging applications across multiple disciplines such as scientific computing, statistics and machine learning. In this paper, an…
An explicit splitting SAV scheme for the kinetic Langevin dynamics
Lei Dai, Yingsong Jiang, Xiaojie Wang
The kinetic Langevin dynamics finds diverse applications in various disciplines such as molecular dynamics and Hamiltonian Monte Carlo sampling. In this paper, a novel splitting sc…
Perturbation estimates for order-one strong approximations of SDEs without globally monotone coefficients
Lei Dai, Xiaojie Wang
To obtain strong convergence rates of numerical schemes, an overwhelming majority of existing works impose a global monotonicity condition on coefficients of SDEs. Nevertheless, th…
Higher order numerical methods for SDEs without globally monotone coefficients
Lei Dai, Xiaojie Wang
In the present work, we delve into further study of numerical approximations of SDEs with non-globally monotone coefficients. We design and analyze a new family of stopped incremen…