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- W3181437472 abstract "The diffusive behaviour of simple random-walk proposals of many Markov Chain Monte Carlo (MCMC) algorithms results in slow exploration of the state space making inefficient the convergence to a target distribution. Hamiltonian/Hybrid Monte Carlo (HMC), by introducing fictious momentum variables, adopts Hamiltonian dynamics, rather than a probability distribution, to propose future states in the Markov chain. Splitting schemes are numerical integrators for Hamiltonian problems that may advantageously replace the Stormer-Verlet method within HMC methodology. In this paper a family of stable methods for univariate and multivariate Gaussian distributions, taken as guide-problems for more realistic situations, is proposed. Differently from similar methods proposed in the recent literature, the considered schemes are featured by null expectation of the random variable representing the energy error. The effectiveness of the novel procedures is shown for bivariate and multivariate test cases taken from the literature." @default.
- W3181437472 created "2021-07-19" @default.
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- W3181437472 date "2021-07-06" @default.
- W3181437472 modified "2023-09-27" @default.
- W3181437472 title "Energy-preserving splitting integrators for sampling from Gaussian distributions with Hamiltonian Monte Carlo method." @default.
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