Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains

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.

Citation information

Bierkens, J., Bouchard-Côté, A., Doucet, A., Duncan, A.B., Fearnhead, P., Lienart, T., Roberts, G. and Vollmer, S.J., 2018. Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains. Statistics & Probability Letters, 136, pp.148-154.

Turing affiliated authors