Irreversible samplers from jump and continuous Markov processes

Statistics and Computing, pp. 177-202, 2019.

Cited by: 14|Views56
EI

Abstract:

In this paper, we propose irreversible versions of the Metropolis–Hastings (MH) and Metropolis-adjusted Langevin algorithm (MALA) with a main focus on the latter. For the former, we show how one can simply switch between different proposal and acceptance distributions upon rejection to obtain an irreversible jump sampler (I-Jump). The res...More

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