Ergodic SDEs on submanifolds and related numerical sampling schemes

In many applications, it is often necessary to sample the mean value of certain quantity with respect to a probability measure {\mu} on the level set of a smooth function $\xi: \mathbb{R}^d\rightarrow \mathbb{R}^k$, $1\le k < d$. A specially interesting case is the so-called conditional probability measure, which is useful in the study of free energy calculation and model reduction of diffusion processes. By Birkhoff's ergodic theorem, one approach to estimate the mean value is to compute the time average along an infinitely long trajectory of an ergodic diffusion process on the level set whose invariant measure is {\mu}. Motivated by the previous work of Ciccotti, Leli\`evre, and Vanden-Eijnden [11], as well as the work of Leli\`evre, Rousset, and Stoltz [33], in this paper we construct a family of ergodic diffusion processes on the level set of $\xi$ whose invariant measures coincide with the given one. For the conditional measure, in particular, we show that the corresponding SDEs of the constructed ergodic processes have relatively simple forms, and, moreover, we propose a consistent numerical scheme which samples the conditional measure asymptotically. The numerical scheme doesn't require computing the second derivatives of $\xi$ and the error estimates of its long time sampling efficiency are obtained.Comment: 45 pages. Accepted versio

Monte Carlo on manifolds in high dimensions

We introduce an efficient numerical implementation of a Markov Chain Monte Carlo method to sample a probability distribution on a manifold (introduced theoretically in Zappa, Holmes-Cerfon, Goodman (2018)), where the manifold is defined by the level set of constraint functions, and the probability distribution may involve the pseudodeterminant of the Jacobian of the constraints, as arises in physical sampling problems. The algorithm is easy to implement and scales well to problems with thousands of dimensions and with complex sets of constraints provided their Jacobian retains sparsity. The algorithm uses direct linear algebra and requires a single matrix factorization per proposal point, which enhances its efficiency over previously proposed methods but becomes the computational bottleneck of the algorithm in high dimensions. We test the algorithm on several examples inspired by soft-matter physics and materials science to study its complexity and properties

Robust Bayesian Inference on Riemannian Submanifold

Non-Euclidean spaces routinely arise in modern statistical applications such as in medical imaging, robotics, and computer vision, to name a few. While traditional Bayesian approaches are applicable to such settings by considering an ambient Euclidean space as the parameter space, we demonstrate the benefits of integrating manifold structure into the Bayesian framework, both theoretically and computationally. Moreover, existing Bayesian approaches which are designed specifically for manifold-valued parameters are primarily model-based, which are typically subject to inaccurate uncertainty quantification under model misspecification. In this article, we propose a robust model-free Bayesian inference for parameters defined on a Riemannian submanifold, which is shown to provide valid uncertainty quantification from a frequentist perspective. Computationally, we propose a Markov chain Monte Carlo to sample from the posterior on the Riemannian submanifold, where the mixing time, in the large sample regime, is shown to depend only on the intrinsic dimension of the parameter space instead of the potentially much larger ambient dimension. Our numerical results demonstrate the effectiveness of our approach on a variety of problems, such as reduced-rank multiple quantile regression, principal component analysis, and Fr\'{e}chet mean estimation