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05/01/2023
Scaling of Piecewise Deterministic Monte Carlo for Anisotropic Targets
Piecewise deterministic Markov processes (PDMPs) are a type of continuou...
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03/14/2023
Methods and applications of PDMP samplers with boundary conditions
We extend Monte Carlo samplers based on piecewise deterministic Markov p...
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10/25/2022
Federated Bayesian Computation via Piecewise Deterministic Markov Processes
When performing Bayesian computations in practice, one is often faced wi...
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11/24/2021
Strong Invariance Principles for Ergodic Markov Processes
Strong invariance principles describe the error term of a Brownian appro...
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09/24/2021
Approximations of Piecewise Deterministic Markov Processes and their convergence properties
Piecewise deterministic Markov processes (PDMPs) are a class of stochast...
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03/15/2021
Sticky PDMP samplers for sparse and local inference problems
We construct a new class of efficient Monte Carlo methods based on conti...
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12/27/2020
Adaptive Schemes for Piecewise Deterministic Monte Carlo Algorithms
The Bouncy Particle sampler (BPS) and the Zig-Zag sampler (ZZS) are cont...
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06/24/2020
The Boomerang Sampler
This paper introduces the Boomerang Sampler as a novel class of continuo...
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01/16/2020
A piecewise deterministic Monte Carlo method for diffusion bridges
We introduce the use of the Zig-Zag sampler to the problem of sampling o...
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12/13/2019
Large deviations for the empirical measure of the zig-zag process
The zig-zag process is a piecewise deterministic Markov process in posit...
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10/03/2018
Simulation of elliptic and hypo-elliptic conditional diffusions
Suppose X is a multidimensional diffusion process. Assume that at time z...
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12/09/2011