Hybrid Monte Carlo methods for sampling probability measures on submanifolds

6 Jul 2018Tony LelièvreMathias RoussetGabriel Stoltz

Probability measures supported on submanifolds can be sampled by adding an extra momentum variable to the state of the system, and discretizing the associated Hamiltonian dynamics with some stochastic perturbation in the extra variable. In order to avoid biases in the invariant probability measures sampled by discretizations of these stochastically perturbed Hamiltonian dynamics, a Metropolis rejection procedure can be considered... (read more)

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