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math.PR2023
Reflection coupling for unadjusted generalized Hamiltonian Monte Carlo in the nonconvex stochastic gradient case
Martin Chak, Pierre Monmarché
Contraction in Wasserstein 1-distance with explicit rates is established for generalized Hamiltonian Monte Carlo with stochastic gradients under possibly nonconvex conditions. The…
math.PR2022★ 1 cited
Regularity preservation in Kolmogorov equations for non-Lipschitz coefficients under Lyapunov conditions
Martin Chak
Given global Lipschitz continuity and differentiability of high enough order on the coefficients in Itô's equation, differentiability of associated semigroups, existence of twice d…
math.PR2020★ 7 cited
On the Generalised Langevin Equation for Simulated Annealing
Martin Chak, Nikolas Kantas, Grigorios A. Pavliotis
In this paper, we consider the generalised (higher order) Langevin equation for the purpose of simulated annealing and optimisation of nonconvex functions. Our approach modifies th…