mlsanityData to 14 Oct 2026

Ensemble preconditioning for Markov chain Monte Carlo simulation

arXiv 1607.03954 ↗First posted 13 Jul 2016stat.ME cs.NA math.NAcited by 16

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Abstract (arXiv)

We describe parallel Markov chain Monte Carlo methods that propagate a collective ensemble of paths, with local covariance information calculated from neighboring replicas. The use of collective dynamics eliminates multiplicative noise and stabilizes the dynamics thus providing a practical approach to difficult anisotropic sampling problems in high dimensions. Numerical experiments with model problems demonstrate that dramatic potential speedups, compared to various alternative schemes, are attainable.

Key facts. Cited by 16 papers in the map (data through 14 Oct 2026). First posted on arXiv 13 Jul 2016.

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Citing papers per year: 2021: 3; 2022: 1; 2023: 4; 2024: 2; 2025: 2; 2026: 4.

16 papers.

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  1. 2023Sampling via Gradient Flows in the Space of Probability Measurescited by 20
  2. 2023Gradient Flows for Sampling: Mean-Field Models, Gaussian Approximations and Affine Invariancecited by 16
  3. 2023Optimal Preconditioning and Fisher Adaptive Langevin Samplingcited by 14
  4. 2024Scalable Bayesian Learning with posteriorscited by 13
  5. 2021Ensemble Inference Methods for Models With Noisy and Expensive Likelihoodscited by 8
  6. 2021Delayed rejection Hamiltonian Monte Carlo for sampling multiscale distributionscited by 7
  7. 2022Second Order Ensemble Langevin Method for Sampling and Inverse Problemscited by 6
  8. 2023Solving Linear Inverse Problems using Higher-Order Annealed Langevin Diffusioncited by 6
  9. 2024Ensemble-Based Annealed Importance Samplingcited by 4
  10. 2025New affine invariant ensemble samplers and their dimensional scalingcited by 4
  11. 2025A Langevin sampling algorithm inspired by the Adam optimizercited by 3
  12. 2021Constrained Ensemble Langevin Monte Carlocited by 1
4 more
  1. 2026A Complete Decomposition of Stochastic Differential Equationscited by 1
  2. 2026Time-Inhomogeneous Preconditioned Langevin Dynamicscited by 0
  3. 2026Accelerated sampling using SamAdams variable timesteps and position-adaptive Langevin dynamicscited by 0
  4. 2026Gradient-free Riemannian Langevin Samplercited by 0