Department of Mathematics, Purdue University, West Lafayette, IN, USA; Departments of Mathematics & School of Mechanical Engineering, Purdue University, West Lafayette, IN, USA; Departments of Statistics, Purdue University, West Lafayette, IN, USA; Department of Mathematics, University of Southern California, Los Angeles, CA, USA; Department of Mathematical Sciences, Durham University, Durham, UK
Wei Deng, Qi Feng, Georgios Karagiannis, Guang Lin, Faming Liang
variance reduction;replica exchange;parallel tempering;stochastic gradient Langevin dynamics;uncertainty quantification;change of measure;generalized Girsanov theorem;Dirichlet form;Markov jump process
Accelerating Convergence of Replica Exchange Stochastic Gradient MCMC via Variance Reduction