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...
| Prif Awduron: | , , , |
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| Fformat: | Journal article |
| Iaith: | English |
| Cyhoeddwyd: |
Institute of Mathematical Statistics
2021
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Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
Cyhoeddwyd 2020
Working paper