Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
The Bouncy Particle Sampler is a Markov chain Monte Carlo method based on a nonreversible piecewise deterministic Markov process. In this scheme, a particle explores the state space of interest by evolving according to a linear dynamics which is altered by bouncing on the hyperplane tangent to the g...
| Main Authors: | , , , |
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| Formato: | Working paper |
| Idioma: | English |
| Publicado em: |
University of Oxford
2020
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