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Bierkens, G.N.J.C. (author), Kamatani, Kengo (author), Roberts, Gareth O. (author)
Piecewise deterministic Markov processes are an important new tool in the design of Markov chain Monte Carlo algorithms. Two examples of fundamental importance are the bouncy particle sampler (BPS) and the zig–zag process (ZZ). In this paper scaling limits for both algorithms are determined. Here the dimensionality of the space tends towards...
journal article 2022
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Bierkens, G.N.J.C. (author), Roberts, Gareth (author)
In Turitsyn, Chertkov and Vucelja [Phys. D 240 (2011) 410-414] a nonreversible Markov Chain Monte Carlo (MCMC) method on an augmented state space was introduced, here referred to as Lifted Metropolis-Hastings (LMH). A scaling limit of the magnetization process in the Curie-Weiss model is derived for LMH, as well as for Metropolis-Hastings (MH...
journal article 2017