Unbiased Estimation using the Underdamped Langevin Dynamics. (arXiv:2206.07202v1 [stat.CO])

In this work we consider the unbiased estimation of expectations
w.r.t.~probability measures that have non-negative Lebesgue density, and which
are known point-wise up-to a normalizing constant. We focus upon developing an
unbiased method via the underdamped Langevin dynamics, which has proven to be
popular of late due to applications in statistics and machine learning.
Specifically in continuous-time, the dynamics can be constructed to admit the
probability of interest as a stationary measure. We develop a novel scheme
based upon doubly …

arxiv dynamics unbiased