Randomized Hamiltonian Monte Carlo

DOI10.1214/16-AAP1255zbMath1373.60129arXiv1511.09382OpenAlexW2185599544MaRDI QIDQ1676436

Nawaf Bou-Rabee, Jesús María Sanz-Serna

Publication date: 7 November 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.09382

zbMATH Keywords

randomizationMarkov chain Monte CarloLyapunov functionshybrid Monte Carlogeometric ergodicityHamiltonian Monte Carloequilibrium mean squared displacementintegrated autocorrelation time

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Sampling theory, sample surveys (62D05) Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

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