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MCMC methods in high dimension.
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Beskos, Alexandros, Roberts, Gareth O., Sanz-Serna, Chus, Stuart, A. M., Pillai, Natesh S. and Pinski, F. J. (2009) MCMC methods in high dimension. In: 2009-10 Program on Stochastic Dynamics Opening Tutorials & Workshops, Raleigh, NC, 30 Aug-2 Sep 2009 ISBN 978-0-7354-0709-1.
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Official URL: http://legacy.samsi.info/workshops/2009stodyn-open...
Abstract
I will overview recent work concerning the design and analysis of Hybrid Monte Carlo (HMC) methods for the sampling of high or infinite dimensional probability measures. In particular I will show
(i) how the standard HMC method should be scaled for a wide class of high dimensional problems; and
(ii) how to circumvent these scaling issues for problems where the target measure has a density with respect to a Gaussian measure.
| Item Type: | Conference Item (Paper) | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QC Physics | ||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics Faculty of Science, Engineering and Medicine > Science > Statistics |
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| Series Name: | AIP Conference Proceedings | ||||
| ISBN: | 978-0-7354-0709-1 | ||||
| Editor: | Simos, TE and Psihoyios, G and Tsitouras, C | ||||
| Official Date: | September 2009 | ||||
| Dates: |
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| Number of Pages: | 3 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Description: | Presented by A. M. Stuart |
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| Version or Related Resource: | Beskos, Alexandros, et al. (2009). MCMC methods in high dimension. In: Newton Institute : SPDE Opening Workshop. Cambridge, 7 Jan 2010. Beskos, Alexandros, et al. (2009). The Hybrid Monte Carlo Algorithm in High Dimensions. In: Simulation of hybrid dynamical systems and applications to molecular dynamics. Paris, 27-30th Sep 2010. | ||||
| Conference Paper Type: | Paper | ||||
| Title of Event: | 2009-10 Program on Stochastic Dynamics Opening Tutorials & Workshops | ||||
| Type of Event: | Conference | ||||
| Location of Event: | Raleigh, NC | ||||
| Date(s) of Event: | 30 Aug-2 Sep 2009 | ||||
| Related URLs: |
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