Kinetic walks for sampling

zbMATH Open1451.60082arXiv1903.00550MaRDI QIDQ5114800FDOQ5114800

Pierre Monmarché

Publication date: 26 June 2020

Abstract: The persistent walk is a classical model in kinetic theory, which has also been studied as a toy model for MCMC questions. Its continuous limit, the telegraph process, has recently been extended to various velocity jump processes (Bouncy Particle Sampler, Zig-Zag process, etc.) in order to sample general target distributions on $mathbb{R}^d$. This paper studies, from a sampling point of view, general kinetic walks that are natural discrete-time (and possibly discrete-space) counterparts of these continuous-space processes. The main contributions of the paper are the definition and study of a discrete-space Zig-Zag sampler and the definition and time-discretisation of hybrid jump/diffusion kinetic samplers for multi-scale potentials on $mathbb{R}^d$.

Full work available at URL: https://arxiv.org/abs/1903.00550

zbMATH Keywords

MCMCzig-zag processnon-reversible sampling

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Analysis of a nonreversible Markov chain sampler.
• Foundations of Modern Probability
• The Zig-Zag Process and Super-Efficient Sampling for Bayesian Analysis of Big Data
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• Title not available (Why is that?)
• Irreversible Monte Carlo algorithms for efficient sampling
• Expansion of the global error for numerical schemes solving stochastic differential equations
• A Liapounov bound for solutions of the Poisson equation
• Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
• Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
• A stochastic model related to the telegrapher's equation
• Geometric numerical integration illustrated by the Störmer–Verlet method
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
• Étude spectrale minutieuse de processus moins indécis que les autres
• Long time behavior of telegraph processes under convex potentials
• FROM PERSISTENT RANDOM WALK TO THE TELEGRAPH NOISE
• The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
• Partial differential equations and stochastic methods in molecular dynamics
• On the spectral analysis of second-order Markov chains
• Rational Construction of Stochastic Numerical Methods for Molecular Sampling
• Title not available (Why is that?)
• Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
• The general correlated random walk
• The one-dimensional asymmetric persistent random walk
• A Diffusion Limit for Generalized Correlated Random Walks
• Nonhomogeneous geometric distributions with relations to birth and death processes
• Piecewise deterministic simulated annealing
• A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model
• Limit theorems for the zig-zag process
• Exact simulation of the jump times of a class of piecewise deterministic Markov processes
• Weakly self-interacting velocity jump processes for bacterial chemotaxis and adaptive algorithms
• Hypocoercivity without confinement
• Ergodicity of the zigzag process
• Partite Saturation Problems

Cited In (2)

• High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion
• Exact targeting of Gibbs distributions using velocity-jump processes

   Recommendations

• Title not available (Why is that?) 👍 👎
• Premature sampling in random walks 👍 👎
• Kendall random walks 👍 👎
• Walking randomly, massively, and efficiently 👍 👎
• Exact and efficient sampling of conditioned walks 👍 👎
• Generalized atmospheric sampling of self-avoiding walks 👍 👎
• Sampling rate effects on measurements of correlated and biased random walks 👍 👎
• Structural, Syntactic, and Statistical Pattern Recognition 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Kinetic walks for sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5114800)