Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations
Sign Up to like & getrecommendations! Published in 2019 at "Comptes Rendus Mathematique"
DOI: 10.1016/j.crma.2019.04.008
Abstract: In this paper we propose a new approach for sampling from probability measures in, possibly, high dimensional spaces. By perturbing the standard overdamped Langevin dynamics by a suitable Stratonovich perturbation that preserves the invariant measure… read more here.
Keywords: langevin dynamics; reduced asymptotic; asymptotic variance; accelerated convergence ... See more keywords
Accelerated Convergence Interleaving Iterative Learning Control and Inverse Dynamics Identification
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Control Systems Technology"
DOI: 10.1109/tcst.2021.3053561
Abstract: This work aims to quickly identify an FIR inverse dynamical model for linear time-invariant (LTI) systems. Various applications are enabled using the constructed inverse filter, as illustrated by an inversion-based iterative learning control (ILC) algorithm.… read more here.
Keywords: inverse dynamics; learning control; iterative learning; dynamics identification ... See more keywords
Accelerated convergence in Hit-and-Run Monte Carlo and a coordinate-free randomized Kaczmarz algorithm
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DOI: 10.1214/25-ejp1418
Abstract: Hit-and-Run is a coordinate-free Gibbs sampler, yet the quantitative advantages of its coordinate-free property remain largely unexplored beyond empirical studies. In this paper, we prove sharp estimates for the Wasserstein contraction of Hit-and-Run in Gaussian… read more here.
Keywords: randomized kaczmarz; accelerated convergence; kaczmarz algorithm; coordinate free ... See more keywords