Markov chain Monte Carlo and numerical differential equations

DOI10.1007/978-3-319-01300-8_2MaRDI QIDQ5261579zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Fokker-Planck equationHamiltonian dynamicsMarkov chain Monte Carlo methodsMetropolis adjusted Langevin algorithmMetropolis random-walk algorithmnumerical examplenumerical experimentstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(22)

• Adaptive multi-stage integrators for optimal energy conservation in molecular simulations
• 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
• Reversible and non-reversible Markov chain Monte Carlo algorithms for reservoir simulation problems
• Coupling and convergence for Hamiltonian Monte Carlo
• Information-geometric Markov chain Monte Carlo methods using diffusions
• Hamiltonian Monte Carlo with explicit, reversible, and volume-preserving adaptive step size control
• MCMC using Hamiltonian dynamics
• MCMC METHODS FOR DIFFUSION BRIDGES
• Numerical Methods in Markov Chain Modeling
• Numerical Integration using Markov Chains
• scientific article; zbMATH DE number 7626757 (Why is no real title available?)
• Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling
• Geometric integrators and the Hamiltonian Monte Carlo method
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Metropolis integration schemes for self-adjoint diffusions
• A New Optimality Property of Strang’s Splitting
• Gaussian processes for Bayesian inverse problems associated with linear partial differential equations
• Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations
• Extra chance generalized hybrid Monte Carlo
• On the convergence of dynamic implementations of Hamiltonian Monte Carlo and no U-turn samplers

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