2 papers
stat.ML2026
Gaussian Invariant Markov Chain Monte Carlo
Michalis K. Titsias, Angelos Alexopoulos, Siran Liu +1
We develop sampling methods, which consist of Gaussian invariant versions of random walk Metropolis (RWM), Metropolis adjusted Langevin algorithm (MALA) and second order Hessian or…
math.ST2024
Variance Reduction for the Independent Metropolis Sampler
Siran Liu, Petros Dellaportas, Michalis K. Titsias
Assume that we would like to estimate the expected value of a function with respect to an intractable density , which is specified up to some unknown normalising constant.…