Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling
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Abstract: We construct integrators to be used in Hamiltonian (or Hybrid) Monte Carlo sampling. The new integrators are easily implementable and, for a given computational budget, may deliver five times as many accepted proposals as standard leapfrog/Verlet without impairing in any way the quality of the samples. They are based on a suitable modification of the processing technique first introduced by J.C. Butcher. The idea of modified processing may also be useful for other purposes, like the construction of high-order splitting integrators with positive coefficients.
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- MCMC using Hamiltonian dynamics
- Multi-stage splitting integrators for sampling with modified Hamiltonian Monte Carlo methods
- Numerical integrators for the hybrid Monte Carlo method
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Cited in
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- On the application of improved symplectic integrators in Hamiltonian Monte Carlo
- Adaptive parameters tuning based on energy-preserving splitting integration for Hamiltonian Monte Carlo method
- Families of efficient low order processed composition methods
- Splitting methods for differential equations
- New efficient numerical methods for some systems of linear ordinary differential equations
- Split Hamiltonian Monte Carlo
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