Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling

Applied and Computational Mathematics Seminar
Monday, April 19, 2021 - 2:00pm for 1 hour (actually 50 minutes)
Prof. Sergio Blanes – Universidad Politécnica de Valencia
Molei Tao

We construct integrators to be used in Hamiltonian (or Hybrid) Monte Carlo sampling. The new integrators are easily implementable and, for a given computational budget, may deliver five times as many accepted proposals as standard leapfrog/Verlet without impairing in any way the quality of the samples. They are based on a suitable modification of the   processing technique first introduced by J.C. Butcher. The idea of modified processing may also be useful for other purposes, like the construction of high-order splitting integrators with positive coefficients.

Joint work with Mari Paz Calvo, Fernando Casas, and Jesús M. Sanz-Serna