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Hybrid Monte Carlo on Hilbert spaces

Authors: Beskos, A.; Pinski, F. J.; Sanz-Serna, J. M.; Stuart, A. M.;

Hybrid Monte Carlo on Hilbert spaces

Abstract

The authors consider the problem of sampling a probability measure \(\pi\) on a Hilbert space defined via the density with respect to a Gaussian measure \(\pi_{0}\): \[ \frac{d\pi}{d\pi_{0}}(q)\propto\exp(-\Phi(q)). \] Any algorithm designed to sample \(\pi\) should be implemented on a finite-dimensional space of dimension \(N\). The number of steps required to explore the target distribution \(\pi\) typically grows with \(N\). The authors propose a generalized hybrid Monte Carlo algorithm which overcomes these shortcomings. They develop the following issues in the infinite-dimensional setting: (i) construction of a probability measure \(\Pi\) in an enlarged phase space having the target \(\pi\) as a marginal together with a Hamiltonian flow that preserves \(\Pi\); (ii) development of a geometric numerical integrator for the Hamiltonian flow; (iii) derivation of an accept/reject rule to ensure preservation of \(\Pi\) when using the above integrator instead of the actual Hamiltonian flow. The standard HMC algorithm was introduced in [\textit{S. Duane, A. D. Kennedy, P. Pendleton} and \textit{D. Roweth}, ``Hybrid Monte Carlo'', Phys. Lett. B 195, No.~2, 216--222 (1987; \url{doi:10.1016/0370-2693(87)91197-X})].

Countries
United Kingdom, United States
Keywords

Statistics and Probability, Probability theory on linear topological spaces, Applied Mathematics, Monte Carlo methods, hybrid Monte Carlo, Hybrid Monte Carlo, Absolute continuity, splitting technique, Hamiltonian dynamics, 510, Modelling and Simulation, Computational methods in Markov chains, absolute continuity, Splitting technique, QA

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
79
Top 10%
Top 10%
Top 10%
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hybrid
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