Search Results for author: Jure Vogrinc

Found 1 papers, 0 papers with code

Optimal design of the Barker proposal and other locally-balanced Metropolis-Hastings algorithms

no code implementations4 Jan 2022 Jure Vogrinc, Samuel Livingstone, Giacomo Zanella

We derive an optimal choice of noise distribution for the Barker proposal, optimal choice of balancing function under a Gaussian noise distribution, and optimal choice of first-order locally-balanced algorithm among the entire class, which turns out to depend on the specific target distribution.

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