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cs.DS2026
Exact simulation of diffusions and improved algorithms for log-concave sampling
Fan Chen, Sinho Chewi, Alexander Rakhlin +1
We study exact simulation of diffusions via rejection sampling on path space using unbiased estimators of the density ratio obtained from Girsanov's theorem. When applied to the un…
cs.DS2026
Algorithmic warm starts for Hamiltonian Monte Carlo
Matthew S. Zhang, Jason M. Altschuler, Sinho Chewi
Generating samples from a continuous probability density is a central algorithmic problem across statistics, engineering, and the sciences. For high-dimensional settings, Hamiltoni…