Fast Markov Chain Monte Carlo Algorithms via Lie Groups
arXiv:1901.08606
Abstract
From basic considerations of the Lie group that preserves a target probability measure, we derive the Barker, Metropolis, and ensemble Markov chain Monte Carlo (MCMC) algorithms, as well as variants of waste-recycling Metropolis-Hastings and an altogether new MCMC algorithm. We illustrate these constructions with explicit numerical computations, and we empirically demonstrate on a spin glass that the new algorithm converges more quickly than its siblings.
Accepted to AISTATS 2020; proofs included here as an appendix (but relegated to supplementary info in conference version)
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