Piecewise Deterministic Markov Processes for Scalable Monte Carlo on Restricted Domains
Methodology
2020-09-29 v3 Computation
Abstract
Piecewise Deterministic Monte Carlo algorithms enable simulation from a posterior distribution, whilst only needing to access a sub-sample of data at each iteration. We show how they can be implemented in settings where the parameters live on a restricted domain.
Cite
@article{arxiv.1701.04244,
title = {Piecewise Deterministic Markov Processes for Scalable Monte Carlo on Restricted Domains},
author = {Joris Bierkens and Alexandre Bouchard-Côté and Arnaud Doucet and Andrew B. Duncan and Paul Fearnhead and Thibaut Lienart and Gareth Roberts and Sebastian J. Vollmer},
journal= {arXiv preprint arXiv:1701.04244},
year = {2020}
}