Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains

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

Statistics & Probability Letters（2018）

引用 26|浏览43

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摘要

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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关键词

MCMC,Bayesian statistics,Piecewise deterministic Markov processes,Logistic regression

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