Generalized Bouncy Particle Sampler - Archive ouverte HAL
Article Dans Une Revue Statistics and Computing Année : 2019

Generalized Bouncy Particle Sampler

Résumé

As a special example of piecewise deterministic Markov process, bouncy particle sampler is a rejection-free, irreversible Markov chain Monte Carlo algorithm and can draw samples from target distribution efficiently. We generalize bouncy particle sampler in terms of its transition dynamics. In BPS, the transition dynamic at event time is deterministic, but in GBPS, it is random. With the help of this randomness, GBPS can overcome the reducibility problem in BPS without refreshement.

Dates et versions

hal-01968784 , version 1 (03-01-2019)

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Changye Wu, Christian Robert. Generalized Bouncy Particle Sampler. Statistics and Computing, In press. ⟨hal-01968784⟩
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