Mixing rates for Hamiltonian Monte Carlo algorithms in finite and infinite dimensions

DOI10.1007/s40072-021-00211-zzbMath1502.65004arXiv2003.07980OpenAlexW3199485799WikidataQ114219563 ScholiaQ114219563MaRDI QIDQ2093317

Cecilia F. Mondaini, Nathan E. Glatt-Holtz

Publication date: 7 November 2022

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.07980

zbMATH Keywords

advection-diffusion equationsMarkov chain Monte Carlo (MCMC)Bayesian inversioninfinite-dimensional Hamiltonian systemspassive scalar transportstatistical samplingHamiltonian Monte Carlo (HMC)

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

Geometric Ergodicity for Hamiltonian Monte Carlo on Compact Manifolds ⋮ On the accept-reject mechanism for Metropolis-Hastings algorithms ⋮ Polynomial mixing of a stochastic wave equation with dissipative damping

Uses Software

• Stan

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