6 papers · 1 filter
On couplings for kinetic Langevin diffusions
Nawaf Bou-Rabee, Sonja Cox, Roy Schieven
For the kinetic Langevin diffusion and its splitting discretizations, the hypoelliptic noise structure makes the relationship between couplings and total variation (TV) bounds more…
From Continuous to Discrete: a No-U-Turn Sampler for Permutations
Nawaf Bou-Rabee, Zichu Wang
We introduce a discrete-space analogue of the No-U-Turn sampler on the symmetric group , yielding a locally adaptive and reversible Markov chain Monte Carlo method for $\mathr…
Decoupling for Markov Chains
Nawaf Bou-Rabee, Victor H. de la Peña
Consider a Markov chain with invariant measure that admits the representation , where are i.i.d. random variables and …
Ballistic Convergence in Hit-and-Run Monte Carlo and a Coordinate-free Randomized Kaczmarz Algorithm
Nawaf Bou-Rabee, Andreas Eberle, Stefan Oberdörster
Hit-and-Run is a coordinate-free Gibbs sampler, yet the quantitative advantages of its coordinate-free property remain largely unexplored beyond empirical studies. In this paper, w…
Mixing of the No-U-Turn Sampler and the Geometry of Gaussian Concentration
Nawaf Bou-Rabee, Stefan Oberdörster
We prove that the mixing time of the No-U-Turn Sampler (NUTS), when initialized in the concentration region of the canonical Gaussian measure, scales as , up to logarithmi…
Unadjusted Hamiltonian MCMC with Stratified Monte Carlo Time Integration
Nawaf Bou-Rabee, Milo Marsden
A randomized time integrator is suggested for unadjusted Hamiltonian Monte Carlo (uHMC) which involves a very minor modification to the usual Verlet time integrator, and hence, is…