Split Hamiltonian Monte Carlo revisited

Fernando Casas, Jesús María Sanz-Serna, Luke Shaw

We study Hamiltonian Monte Carlo (HMC) samplers based on splitting the Hamiltonian $H$ as $H_0(\theta ,p)+U_1(\theta )$, where $H_0$ is quadratic and $U_1$ small. We show that, in general, suc…