The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method

DOI10.48550/arXiv.1510.02451zbMath1398.60084arXiv1510.02451OpenAlexW2963561977MaRDI QIDQ144293

Alexandre Bouchard-Côté, Arnaud Doucet, Sebastian J. Vollmer, Arnaud Doucet, Alexandre Bouchard-Côté, Sebastian J. Vollmer

Publication date: 8 October 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.02451

zbMATH Keywords

Markov chain Monte Carloinhomogeneous Poisson processprobabilistic graphical modelspiecewise deterministic Markov processrejection-free simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Multivariate analysis (62H99) Bayesian inference (62F15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Uses Software

• MrBayes
• mcmcse
• NUTS

Cites Work

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• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Markov chain Monte Carlo and irreversibility
• Bayesian analysis of continuous time Markov chains with application to phylogenetic modelling
• Optimal scaling for various Metropolis-Hastings algorithms.
• Monte Carlo strategies in scientific computing.
• Graphical Models, Exponential Families, and Variational Inference
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods

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