Ensemble preconditioning for Markov chain Monte Carlo simulation

Code

• bitbucket.org/c_matthews/ensembleqn
  OfficialIn papernone★ 0

Abstract

We describe parallel Markov chain Monte Carlo methods that propagate a collective ensemble of paths, with local covariance information calculated from neighboring replicas. The use of collective dynamics eliminates multiplicative noise and stabilizes the dynamics thus providing a practical approach to difficult anisotropic sampling problems in high dimensions. Numerical experiments with model problems demonstrate that dramatic potential speedups, compared to various alternative schemes, are attainable.

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