Transport Map Accelerated Markov Chain Monte Carlo
We introduce a new framework for efficient sampling from complex probability distributions, using a combination of transport maps and the Metropolis-Hastings rule. The core idea is to use deterministic couplings to transform typical Metropolis proposal mechanisms (e.g., random walks, Langevin method...
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| Format: | Article |
| Language: | English |
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Society for Industrial & Applied Mathematics (SIAM)
2020
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| Online Access: | https://hdl.handle.net/1721.1/126469 |