Establishing an $\Omega (\sqrt{d})$ complexity lower bound for PDMP samplers and how to break it: a sub-$\sqrt{d}$ algorithm for Gaussian-tailed targets

Augustin Chevallier

Despite the theoretical appeal of their non-reversibility, to date, no Piecewise Deterministic Markov Process (PDMP) samplers have been developed that scale better than $\mathcal{O…