4 citations · 10 across the 7 of their papers we have counts for
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Adaptive Tuning for Metropolis Adjusted Langevin Trajectories
Lionel Riou-Durand, Pavel Sountsov, Jure Vogrinc +2
Hamiltonian Monte Carlo (HMC) is a widely used sampler for continuous probability distributions. In many cases, the underlying Hamiltonian dynamics exhibit a phenomenon of resonanc…
Metropolis Adjusted Langevin Trajectories: a robust alternative to Hamiltonian Monte Carlo
Lionel Riou-Durand, Jure Vogrinc
We introduce MALT: a new Metropolis adjusted sampler built upon the (kinetic) Langevin diffusion. Compared to Generalized Hamiltonian Monte Carlo (GHMC), the Metropolis correction…
Optimal design of the Barker proposal and other locally-balanced Metropolis-Hastings algorithms
Jure Vogrinc, Samuel Livingstone, Giacomo Zanella
We study the class of first-order locally-balanced Metropolis--Hastings algorithms introduced in Livingstone & Zanella (2021). To choose a specific algorithm within the class the u…