Related papers: Gradient Flow from a Random Walk in Hilbert Space
The reversible jump Markov chain Monte Carlo (RJMCMC) method offers an across-model simulation approach for Bayesian estimation and model comparison, by exploring the sampling space that consists of several models of possibly varying…
This paper proposes a new type of recurrence where we divide the Markov chains into intervals that start when the chain enters into a subset A, then sample another subset B far away from A and end when the chain again return to A. The…
A numerical procedure was developed for solving equations for compressible granular multiphase flows in which the particle volume fraction can range dynamically from very dilute to very dense. The procedure uses a low-dissipation and…
We consider a linearized dynamical system modelling the flow rate of water along the rivers and hillslopes of an arbitrary watershed. The system is perturbed by a random rainfall in the form of a compound Poisson process. The model…
In this paper we study a gradient flow approach to the problem of quantization of measures in one dimension. By embedding our problem in $L^2$, we find a continuous version of it that corresponds to the limit as the number of particles…
In recent work [1] we uncovered intriguing connections between Otto's characterisation of diffusion as entropic gradient flow [16] on one hand and large-deviation principles describing the microscopic picture (Brownian motion) on the other.…
In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov processes obtained as the unique mild solution to stochastic…
We prove that random walks in random environments, that are exponentially mixing in space and time, are almost surely diffusive, in the sense that their scaling limit is given by the Wiener measure.
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
Despite the widespread use of gradient-based algorithms for optimizing high-dimensional non-convex functions, understanding their ability of finding good minima instead of being trapped in spurious ones remains to a large extent an open…
A rescaled Markov chain converges uniformly in probability to the solution of an ordinary differential equation, under carefully specified assumptions. The presentation is much simpler than those in the outside literature. The result may be…
Density-dependent Markov chains form an important class of continuous-time Markov chains in population dynamics. On any fixed time window [0, T ], when the scale parameter K > 0 is large such chains are well approximated by the solution of…
We study the problem of sampling from a probability distribution $\pi$ on $\rset^d$ which has a density \wrt\ the Lebesgue measure known up to a normalization factor $x \mapsto \rme^{-U(x)} / \int_{\rset^d} \rme^{-U(y)} \rmd y$. We analyze…
The efficiency of a Markov sampler based on the underdamped Langevin diffusion is studied for high dimensional targets with convex and smooth potentials. We consider a classical second-order integrator which requires only one gradient…
We establish a direct connection of quantum Markovianity of an open quantum system to its classical counterpart by generalizing the criterion based on the information flow. Here, the flow is characterized by the time evolution of Helstrom…
Sparse inversion and classification problems are ubiquitous in modern data science and imaging. They are often formulated as non-smooth minimisation problems. In sparse inversion, we minimise, e.g., the sum of a data fidelity term and an…
We present a model for conductivity and energy diffusion in a linear chain described by a quadratic Hamiltonian with Gaussian noise. We show that when the correlation matrix is diagonal, the noise-averaged Liouville-von Neumann equation…
It has been observed in a variety of contexts that gradient descent methods have great success in solving low-rank matrix factorization problems, despite the relevant problem formulation being non-convex. We tackle a particular instance of…
We study the rate of convergence to equilibrium of the self-repellent random walk and its local time process on the discrete circle $\mathbb{Z}_n$. While the self-repellent random walk alone is non-Markovian since the jump rates depend on…
Gromov--Wasserstein (GW) distances compare graphs, shapes, and point clouds through internal distances, without requiring a common coordinate system. This invariance is powerful, but discrete GW is a nonconvex quadratic optimal transport…