TIPreL uses a time- and position-dependent preconditioner in Langevin dynamics to address both global mode coverage and local exploration, with convergence proven in Wasserstein-2 distance under extended conditions.
Ensemble preconditioning for Markov chain Monte Carlo simulation.Statistics and Computing, 28(2):277–290, March 2018
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Time-Inhomogeneous Preconditioned Langevin Dynamics
TIPreL uses a time- and position-dependent preconditioner in Langevin dynamics to address both global mode coverage and local exploration, with convergence proven in Wasserstein-2 distance under extended conditions.