Listar MAT_Articles por autoría "3e8bf77f-f824-4b98-91fc-461161dae82a"
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Numerical Integrators for the Hybrid Monte Carlo Method
Blanes, Sergio; Casas, Fernando; Sanz-Serna, JM Society for Industrial and Applied Mathematics (2014-05)We construct numerical integrators for Hamiltonian problems that may advantageously replace the standard Verlet time-stepper within Hybrid Monte Carlo and related simulations. Past attempts have often aimed at boosting the ... -
Split Hamiltonian Monte Carlo revisited
Casas, Fernando; Sanz-Serna, JM; Shaw, Luke Daniel Springer (2022)We study Hamiltonian Monte Carlo (HMC) samplers based on splitting the Hamiltonian H as H0(θ , p)+U1(θ ), where H0 is quadratic and U1 small. We show that, in general, such samplers suffer from stepsize stability restrictions ... -
Symmetrically processed splitting integrators for enhanced hamiltonian monte carlo sampling
Blanes, Sergio; Calvo, Mari Paz; Casas, Fernando; Sanz-Serna, JM Society for Industrial and Applied Mathematics (2021-09-23)We construct integrators to be used in Hamiltonian (or Hybrid) Monte Carlo sampling. The new integrators are easily implementable and, for a given computational budget, may deliver five times as many accepted proposals as ...