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arXiv · 1701.04244

Piecewise Deterministic Markov Processes for Scalable Monte Carlo on Restricted Domains

Joris Bierkens·Alexandre Bouchard-Côté·Arnaud Doucet·Andrew B. Duncan·Paul Fearnhead·Thibaut Lienart·Gareth Roberts·Sebastian J. Vollmer
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Abstract

Piecewise Deterministic Monte Carlo algorithms enable simulation from a posterior distribution, whilst only needing to access a sub-sample of data at each iteration. We show how they can be implemented in settings where the parameters live on a restricted domain.

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Joris Bierkens, Alexandre Bouchard-Côté, Arnaud Doucet, Andrew B. Duncan, Paul Fearnhead, Thibaut Lienart, Gareth Roberts, Sebastian J. Vollmer. 2018-02-17. Piecewise Deterministic Markov Processes for Scalable Monte Carlo on Restricted Domains. https://doi.org/10.1016/j.spl.2018.02.021

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