281 citations · 865 across the 46 of their papers we have counts for
3 papers · 1 filter
Optimal tuning of the Hybrid Monte-Carlo Algorithm
Alexandros Beskos, Natesh S. Pillai, Gareth O. Roberts +2
We investigate the properties of the Hybrid Monte-Carlo algorithm (HMC) in high dimensions. HMC develops a Markov chain reversible w.r.t. a given target distribution by using s…
Optimal scalings for local Metropolis--Hastings chains on nonproduct targets in high dimensions
Alexandros Beskos, Gareth Roberts, Andrew Stuart
We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dim…
Exact simulation of diffusions
Alexandros Beskos, Gareth O. Roberts
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applic…