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...
| Authors: | , , , |
|---|---|
| Format: | article |
| Publication Date: | 2021 |
| Country: | España |
| Institution: | Universitat Politècnica de València (UPV) |
| Repository: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Language: | English |
| OAI Identifier: | oai:riunet.upv.es:10251/182159 |
| Online Access: | https://riunet.upv.es/handle/10251/182159 |
| Access Level: | Open access |
| Keyword: | Hamiltonian Monte Carlo method Splitting integrators Processing MATEMATICA APLICADA |
| Summary: | [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. |
|---|