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stat.CO2023
Numerical Generalized Randomized HMC processes for restricted domains
Tore Selland Kleppe, Roman Liesenfeld
We propose a generic approach for numerically efficient simulation from analytically intractable distributions with constrained support. Our approach relies upon Generalized Random…
math.NA2023
Randomized Runge-Kutta-Nyström Methods for Unadjusted Hamiltonian and Kinetic Langevin Monte Carlo
Nawaf Bou-Rabee, Tore Selland Kleppe
We introduce - and -order -accurate randomized Runge-Kutta-Nyström methods, tailored for approximating Hamiltonian flows within non-reversible Markov chain Monte Car…