Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling
Numerical Analysis
2021-06-25 v2 Numerical Analysis
Abstract
We construct integrators to be used in Hamiltonian (or Hybrid) Monte Carlo sampling. The new integrators are easily implementable and, for a given computational budget, may deliver five times as many accepted proposals as standard leapfrog/Verlet without impairing in any way the quality of the samples. They are based on a suitable modification of the processing technique first introduced by J.C. Butcher. The idea of modified processing may also be useful for other purposes, like the construction of high-order splitting integrators with positive coefficients.
Keywords
Cite
@article{arxiv.2011.04401,
title = {Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling},
author = {S. Blanes and M. P. Calvo and F. Casas and J. M. Sanz-Serna},
journal= {arXiv preprint arXiv:2011.04401},
year = {2021}
}