1 code implementation • 18 Aug 2023 • Teresa Klatzer, Paul Dobson, Yoann Altmann, Marcelo Pereyra, Jesús María Sanz-Serna, Konstantinos C. Zygalakis
This discretisation is asymptotically unbiased for Gaussian targets and shown to converge in an accelerated manner for any target that is $\kappa$-strongly log-concave (i. e., requiring in the order of $\sqrt{\kappa}$ iterations to converge, similarly to accelerated optimisation schemes), comparing favorably to [M. Pereyra, L. Vargas Mieles, K. C.
1 code implementation • 14 Nov 2017 • Nawaf Bou-Rabee, Jesús María Sanz-Serna
This paper surveys in detail the relations between numerical integration and the Hamiltonian (or hybrid) Monte Carlo method (HMC).
Probability Numerical Analysis Computation Methodology