A piecewise deterministic Monte Carlo method for diffusion bridges

DOI10.1007/S11222-021-10008-8zbMath1475.62019arXiv2001.05889OpenAlexW3155936924MaRDI QIDQ2058759

Joris Bierkens, Moritz Schauer, Sebastiano Grazzi, Frank H. van der Meulen

Publication date: 9 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.05889

zbMATH Keywords

diffusion processconditional diffusionFaber-Schauder basisdiffusion bridgehigh-dimensional simulationintractable target densitylocal zig-zag samplerpiecewise deterministic Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Diffusion processes (60J60)

Related Items (7)

Speed up Zig-Zag ⋮ Exponential ergodicity for damping Hamiltonian dynamics with state-dependent and non-local collisions ⋮ Concave-Convex PDMP-based Sampling ⋮ Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models ⋮ High-dimensional scaling limits of piecewise deterministic sampling algorithms ⋮ Automatic zig-zag sampling in practice ⋮ Sticky PDMP samplers for sparse and local inference problems

Uses Software

• Bridge.jl

Cites Work

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• Simulation of elliptic and hypo-elliptic conditional diffusions
• Optimal Scaling of Discrete Approximations to Langevin Diffusions

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