3 papers
stat.CO2026
High-dimensional Adaptive MCMC with Reduced Computational Complexity
Max Hird, Samuel Livingstone
We propose an adaptive MCMC method that learns a linear preconditioner which is dense in its off-diagonal elements but sparse in its parametrisation. Due to this sparsity, we achie…
stat.CO2023
Quantifying the effectiveness of linear preconditioning in Markov chain Monte Carlo
Max Hird, Samuel Livingstone
We study linear preconditioning in Markov chain Monte Carlo. We consider the class of well-conditioned distributions, for which several mixing time bounds depend on the condition n…
stat.CO2020
A fresh take on 'Barker dynamics' for MCMC
Max Hird, Samuel Livingstone, Giacomo Zanella
We study a recently introduced gradient-based Markov chain Monte Carlo method based on 'Barker dynamics'. We provide a full derivation of the method from first principles, placing…