Markov chain Monte Carlo and numerical differential equations

DOI10.1007/978-3-319-01300-8_2zbMATH Open1318.65007OpenAlexW12587120MaRDI QIDQ5261579FDOQ5261579

Jesús María Sanz-Serna

Publication date: 6 July 2015

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-01300-8_2

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zbMATH Keywords

Markov chain Monte Carlo methodsFokker-Planck equationnumerical examplenumerical experimentstochastic differential equationsHamiltonian dynamicsMetropolis adjusted Langevin algorithmMetropolis random-walk algorithm

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) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (18)

• Metropolis Integration Schemes for Self-Adjoint Diffusions
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Numerical Integration using Markov Chains
• Title not available (Why is that?)
• Gaussian processes for Bayesian inverse problems associated with linear partial differential equations
• A New Optimality Property of Strang’s Splitting
• MCMC METHODS FOR DIFFUSION BRIDGES
• Reversible and non-reversible Markov chain Monte Carlo algorithms for reservoir simulation problems
• Coupling and convergence for Hamiltonian Monte Carlo
• Numerical Methods in Markov Chain Modeling
• Extra chance generalized hybrid Monte Carlo
• Hamiltonian Monte Carlo with explicit, reversible, and volume-preserving adaptive step size control
• Symmetrically Processed Splitting Integrators for Enhanced Hamiltonian Monte Carlo Sampling
• Adaptive multi-stage integrators for optimal energy conservation in molecular simulations
• Geometric integrators and the Hamiltonian Monte Carlo method
• Palindromic 3-stage splitting integrators, a roadmap
• Split Hamiltonian Monte Carlo revisited
• HMC: reducing the number of rejections by not using leapfrog and some results on the acceptance rate

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