756 citations · 3.9k across the 84 of their papers we have counts for
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Exact sampling of diffusions with a discontinuity in the drift
Omiros Papaspiliopoulos, Gareth O. Roberts, Kasia B. Taylor
We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of fin…
Asymptotic Analysis of the Random-Walk Metropolis Algorithm on Ridged Densities
Alexandros Beskos, Gareth Roberts, Alexandre Thiery +1
In this paper we study the asymptotic behavior of the Random-Walk Metropolis algorithm on probability densities with two different `scales', where most of the probability mass is d…
A piecewise deterministic scaling limit of Lifted Metropolis-Hastings in the Curie-Weiss model
Joris Bierkens, Gareth Roberts
In Turitsyn, Chertkov, Vucelja (2011) a non-reversible Markov Chain Monte Carlo (MCMC) method on an augmented state space was introduced, here referred to as Lifted Metropolis-Hast…
Fast Langevin based algorithm for MCMC in high dimensions
Alain Durmus, Gareth O. Roberts, Gilles Vilmart +1
We introduce new Gaussian proposals to improve the efficiency of the standard Hastings-Metropolis algorithm in Markov chain Monte Carlo (MCMC) methods, used for the sampling from a…
Stability of Noisy Metropolis-Hastings
Felipe J. Medina-Aguayo, Anthony Lee, Gareth O. Roberts
Pseudo-marginal Markov chain Monte Carlo methods for sampling from intractable distributions have gained recent interest and have been theoretically studied in considerable depth.…
Discussion of "Sequential Quasi-Monte-Carlo Sampling" by M. Gerber and N. Chopin
M. Pollock, A. M. Johansen, K. Łatuszyński +1
In this comment we consider whether QMC methods can be further embedded within SMC schemes in settings in which the transition density of the latent process is intractable and pseu…