Geometric integrators and the Hamiltonian Monte Carlo method

Bou Rabee, Nawaf; Sanz Serna, Jesús María

Geometric integrators and the Hamiltonian Monte Carlo method

Author(s): Bou Rabee, Nawaf; Sanz Serna, Jesús María

Publisher: Cambridge University Press

Issued date: 2018-05-01

Citation: Bou-Rabee, N. & Sanz-Serna, J. M. (2018). Geometric integrators and the Hamiltonian Monte Carlo method. Acta Numerica, vol. 27, pp. 113–206.

ISSN: 0962-4929

DOI: https://doi.org/10.1017/S0962492917000101

xmlui.dri2xhtml.METS-1.0.item-contributor-funder: Ministerio de Ciencia, Innovación y Universidades (España)

Sponsor: This work was supported in part by a Catalyst Grant to N. B-R. from the Provost’s Fund for Research at Rutgers University–Camden under project no. 205536, and also in part by the NSF Research Network in Mathematical Sciences: ‘Kinetic description of emerging challenges in multiscale problems of natural sciences’ (PI, Eitan Tadmor; NSF grant no. 11-07444). J.M.S. has been supported by project MTM2016-77660-P(AEI/FEDER, UE) funded by MINECO (Spain).

Project: Gobierno de España. MTM2016-77660-P

URI: http://hdl.handle.net/10016/32602

Rights: © Cambridge University Press, 2018
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Abstract:

This paper surveys in detail the relations between numerical integration and the Hamiltonian (or hybrid) Monte Carlo method (HMC). Since the computational cost of HMC mainly lies in the numerical integrations, these should be performed as efficiently as possib [+]

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