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We introduce a novel stochastic version of the non-reversible, rejection-free Bouncy Particle Sampler (BPS), a Markov process whose sample trajectories are piecewise linear.
Some statistical methods connected with series of events
Cox, David R · 1955
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A bound for the error in the normal approximation to the distribution of a sum of dependent random variables
Stein, Charles et al · 1972
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Doubly stochastic Poisson processes
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Lewis, Peter A and Shedler, Gerald S · 1979
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Piecewise-deterministic Markov processes: A general class of non-diffusion stochastic models
Davis, Mark HA · 1984
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Limit Theorems for Stochastic Processes
Jacod, J. and Shiryaev, A.N · 1987
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Stein’s method for diffusion approximations
Barbour, Andrew D · 1990
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Improving asymptotic variance of MCMC estimators: Non-reversible chains are better
Neal, Radford M · 2004
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Roberts, Gareth O, Rosenthal, Jeffrey S, et al · 2004
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Optimal transport: old and new , volume 338
Villani, Cédric · 2008
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Ross, Nathan · 2011
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Welling, Max and Teh, Yee W · 2011
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Ahn, Sungjin, Korattikara, Anoop, and Welling, Max · 2012
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Bayesian learning for neural networks , volume 118
Neal, Radford M · 2012
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Rejection-free Monte Carlo sampling for general potentials
Peters, EAJF and de With, G · 2012
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A stochastic gradient method with an exponential convergence rate for finite training sets
Roux, Nicolas L, Schmidt, Mark, and Bach, Francis R · 2012
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Korattikara, Anoop, Chen, Yutian, and Welling, Max · 2013
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Stochastic gradient Riemannian Langevin dynamics on the probability simplex
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Monte Carlo statistical methods
Robert, Christian and Casella, George · 2013
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Towards scaling up Markov chain Monte Carlo: an adaptive subsampling approach
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Chen, Tianqi, Fox, Emily B, and Guestrin, Carlos · 2014
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Ma, Yi-An, Chen, Tianqi, and Fox, Emily · 2015
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Quiroz, Matias, Villani, Mattias, and Kohn, Robert · 2015
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The Zig-Zag Process and Super-Efficient Sampling for Bayesian Analysis of Big Data
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Piecewise Deterministic Markov Processes for Continuous-Time Monte Carlo
Fearnhead, Paul, Bierkens, Joris, Pollock, Murray, and Roberts, Gareth O · 2016
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Ding, Nan, Fang, Youhan, Babbush, Ryan, Chen, Changyou, Skeel, Robert D, and Neven, Hartmut · 2014
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Piecewise Deterministic Markov Processes for Scalable Monte Carlo on Restricted Domains
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