Hamiltonian Monte Carlo for efficient Gaussian sampling: long and random steps.

Simon Apers Sander Gribling Dániel Szilágyi

Published in: CoRR (2022)

Keyphrases

monte carlo
importance sampling
adaptive sampling
monte carlo method
markov chain
monte carlo simulation
simulation study
monte carlo methods
matrix inversion
point processes
variance reduction
markovian decision
stochastic approximation
temporal difference
optimal strategy
particle filter
quasi monte carlo