126 citations · 826 across the 40 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
math.PR2017★ 89 cited
Geometric integrators and the Hamiltonian Monte Carlo method
Nawaf Bou-Rabee, Jesús María Sanz-Serna
This paper surveys in detail the relations between numerical integration and the Hamiltonian (or hybrid) Monte Carlo method (HMC). Since the computational cost of HMC mainly lies i…
math.PR2017★ 2 cited
Cayley Splitting for Second-Order Langevin Stochastic Partial Differential Equations
Nawaf Bou-Rabee
We give accurate and ergodic numerical methods for semilinear, second-order Langevin stochastic partial differential equations (SPDE). As a byproduct, we also give good geometric n…