Accelerating diffusions

Let U be a given function defined on R^d and π(x) be a density function proportional to \exp -U(x). The following diffusion X(t) is often used to sample from π(x), dX(t)=-\nabla U(X(t)) dt+\sqrt2 dW(t),\qquad X(0)=x_0. To accelerate the convergence, a family of diffusions with π(x) as their common e... View More