Sebastian J. Vollmer

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Journal article (1)

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Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains

Journal article (2018) - Joris Bierkens , Alexandre Bouchard-Côté , Arnaud Doucet , Andrew B. Duncan , Paul Fearnhead , Thibaut Lienart , Gareth Roberts , Sebastian J. Vollmer

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.