4 papers
Numerical integrators for confined Langevin dynamics
B. Leimkuhler, A. Sharma, M. V. Tretyakov
We derive and analyze numerical methods for underdamped (kinetic) Langevin dynamics in a domain with elastic reflection at the boundary. First-order approximations are based on an…
Sampling and estimation on manifolds using the Langevin diffusion
Karthik Bharath, Alexander Lewis, Akash Sharma +1
Error bounds are derived for sampling and estimation using a discretization of an intrinsically defined Langevin diffusion with invariant measure $\text{d}μ_Ï\propto e^{-Ï} \mat…
Sampling from mixture distributions based on regime-switching diffusions
M. V. Tretyakov
It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant t…
Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications
P. D. Hinds, A. Sharma, M. V. Tretyakov
In this paper, we establish well-posedness of reflected McKean-Vlasov SDEs and their particle approximations in smooth non-convex domains. We prove convergence of the interacting p…