Extra Chance Generalized Hybrid Monte Carlo
Probability
2014-10-29 v2 Numerical Analysis
Abstract
We study a method, Extra Chance Generalized Hybrid Monte Carlo, to avoid rejections in the Hybrid Monte Carlo method and related algorithms. In the spirit of delayed rejection, whenever a rejection would occur, extra work is done to find a fresh proposal that, hopefully, may be accepted. We present experiments that clearly indicate that the additional work per sample carried out in the extra chance approach clearly pays in terms of the quality of the samples generated.
Keywords
Cite
@article{arxiv.1407.8107,
title = {Extra Chance Generalized Hybrid Monte Carlo},
author = {Cédric M. Campos and J. M. Sanz-Serna},
journal= {arXiv preprint arXiv:1407.8107},
year = {2014}
}
Comments
13 pages, 8 figures (including 1 diagram, 3 pseudocodes), 1 table, updated (corrections, typos and new appendix)