arXiv Machine Learning By P. Dobson, J. M. Sanz-Serna, K. C. Zygalakis

Optimal scaling of MCMC algorithms: the Hamiltonian approach

Read the original on arXiv Machine Learning →

arXiv:2607. 00586v2 Announce Type: replace-cross Abstract: We present a simple, yet general approach to study the scaling properties as the dimensionality of Metropolised MCMC sampling algorithms increases.

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arXiv Machine Learning
Jul 14

Gaussian Invariant Markov Chain Monte Carlo

arXiv:2506. 21511v2 Announce Type: replace-cross Abstract: We develop sampling methods, which consist of Gaussian invariant versions of random walk Metropolis (RWM), Metropolis adjusted Langevin algorithm (MALA) and second order Hessian or Manifold MALA.

By Michalis K. Titsias, Angelos Alexopoulos, Siran Liu, Petros Dellaportas