756 citations · 3.9k across the 84 of their papers we have counts for
24 papers · 1 filter
A Note on the Polynomial Ergodicity of the One-Dimensional Zig-Zag process
G. Vasdekis, G. O. Roberts
We prove polynomial ergodicity for the one-dimensional Zig-Zag process on heavy tailed targets and identify the exact order of polynomial convergence of the process when targeting…
Speed Up Zig-Zag
Giorgos Vasdekis, Gareth O. Roberts
Zig-Zag is Piecewise Deterministic Markov Process, efficiently used for simulation in an MCMC setting. As we show in this article, it fails to be exponentially ergodic on heavy tai…
Skew Brownian Motion and Complexity of the ALPS Algorithm
Gareth O. Roberts, Jeffrey S. Rosenthal, Nicholas G. Tawn
Simulated tempering is a popular method of allowing MCMC algorithms to move between modes of a multimodal target density π. The paper [24] introduced the Annealed Leap-Point Sample…
Regeneration-enriched Markov processes with application to Monte Carlo
Andi Q. Wang, Murray Pollock, Gareth O. Roberts +1
We study a class of Markov processes that combine local dynamics, arising from a fixed Markov process, with regenerations arising at a state-dependent rate. We give conditions unde…
An approximation scheme for quasi-stationary distributions of killed diffusions
Andi Q. Wang, Gareth O. Roberts, David Steinsaltz
In this paper we study the asymptotic behavior of the normalized weighted empirical occupation measures of a diffusion process on a compact manifold which is killed at a smooth rat…
High-dimensional scaling limits of piecewise deterministic sampling algorithms
Joris Bierkens, Kengo Kamatani, Gareth O. Roberts
Piecewise deterministic Markov processes are an important new tool in the design of Markov Chain Monte Carlo algorithms. Two examples of fundamental importance are the Bouncy Parti…