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math.PR2020
Spectral Gap of Replica Exchange Langevin Diffusion on Mixture Distributions
Jing Dong, Xin T. Tong
Langevin diffusion (LD) is one of the main workhorses for sampling problems. However, its convergence rate can be significantly reduced if the target distribution is a mixture of m…
math.PR2018
Simple Nonlinear Models with Rigorous Extreme Events and Heavy Tails
Andrew J. Majda, Xin T. Tong
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochast…