116 citations · 415 across the 17 of their papers we have counts for
3 papers · 1 filter
Multilevel Monte Carlo for Scalable Bayesian Computations
Mike Giles, Tigran Nagapetyan, Lukasz Szpruch +2
Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian computations. However, they need to access the full data set in order to evaluate the posterior density at eve…
Relativistic Monte Carlo
Xiaoyu Lu, Valerio Perrone, Leonard Hasenclever +2
Hamiltonian Monte Carlo (HMC) is a popular Markov chain Monte Carlo (MCMC) algorithm that generates proposals for a Metropolis-Hastings algorithm by simulating the dynamics of a Ha…
Multilevel Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch +2
We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergod…