Randomized Hamiltonian Monte Carlo as Scaling Limit of the Bouncy Particle Sampler and Dimension-Free Convergence Rates

George Deligiannidis, Daniel Paulin, Alexandre Bouchard-Côté +1

The Bouncy Particle Sampler is a Markov chain Monte Carlo method based on a nonreversible piecewise deterministic Markov process. In this scheme, a particle explores the state spac…