Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling Articles uri icon

publication date

  • January 2021

start page

  • A3357

end page

  • A3371

issue

  • 5

volume

  • 43

International Standard Serial Number (ISSN)

  • 1064-8275

Electronic International Standard Serial Number (EISSN)

  • 1095-7197

abstract

  • 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 standard leapfrog/Verlet without impairing in any way the quality of the samples. They are based on a suitable modification of the processing technique first introduced by Butcher. The idea of modified processing may also be useful for other purposes, like the construction of high-order splitting integrators with positive coefficients.

subjects

  • Mathematics

keywords

  • hamiltonian monte carlo method; splitting integrators; processing