Work

Sampling from Mixture Distributions Based on Regime-Switching Diffusions

Year: 2025

Type: article

Abstract: . It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the scheme converges with order one in the weak sense and also in the ergodic limit. Numerical experiments illustrate the use of SDEwS for sampling from mixture distributions and confirm the theoretical results.

Source: SIAM Journal on Scientific Computing

DOI: 10.1137/24m1677113

Author: M. V. Tretyakov

Institution: University of Nottingham

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Funder: Engineering and Physical Sciences Research Council

Award: Stochastic Numerics for Sampling on Manifolds