Optimal tuning of the hybrid Monte Carlo algorithm

DOI10.3150/12-BEJ414zbMath1287.60090arXiv1001.4460MaRDI QIDQ2435211

Alexandros Beskos, Andrew M. Stuart, Natesh S. Pillai, Gareth O. Roberts, Jesús María Sanz-Serna

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.4460

zbMATH Keywords

leapfrog scheme; Hamiltonian dynamics; high dimensions; optimal acceptance probability; squared jumping distance

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

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