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math.NA2020★ 1 cited
A splitting method to reduce MCMC variance
Robert J. Webber, David Aristoff, Gideon Simpson
We explore whether splitting and killing methods can improve the accuracy of Markov chain Monte Carlo (MCMC) estimates of rare event probabilities, and we make three contributions.…
math.NA2019
Sampling from Rough Energy Landscapes
Petr Plecháč, Gideon Simpson
We examine challenges to sampling from Boltzmann distributions associated with multiscale energy landscapes. The multiscale features, or "roughness," corresponds to highly oscillat…