Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains
Joris Bierkens (TU Delft - Electrical Engineering, Mathematics and Computer Science)
Alexandre Bouchard-Côté (University of British Columbia)
Arnaud Doucet (University of Oxford)
Andrew B. Duncan (University of Sussex)
Paul Fearnhead (University of Lancaster)
Thibaut Lienart (University of Oxford)
Gareth Roberts (University of Warwick)
Sebastian J. Vollmer (University of Warwick)
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Abstract
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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