155 citations · 955 across the 56 of their papers we have counts for
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math.PR2010★ 100 cited
Diffusion limits of the random walk Metropolis algorithm in high dimensions
Jonathan C. Mattingly, Natesh S. Pillai, Andrew M. Stuart
Diffusion limits of MCMC methods in high dimensions provide a useful theoretical tool for studying computational complexity. In particular, they lead directly to precise estimates…
math.PR2010★ 10 cited
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…