Symmetrically Processed Splitting Integrators for Enhanced Hamiltonian Monte Carlo Sampling
[EN] 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...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Universitat Politècnica de València (UPV) |
| Repositorio: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Idioma: | inglés |
| OAI Identifier: | oai:riunet.upv.es:10251/182159 |
| Acceso en línea: | https://riunet.upv.es/handle/10251/182159 |
| Access Level: | acceso abierto |
| Palabra clave: | Hamiltonian Monte Carlo method Splitting integrators Processing MATEMATICA APLICADA |
| Sumario: | [EN] 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 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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