Involutive MCMC: a Unifying Framework
Vol. 119. , PMLR, 2020
, , et al., , in : Supercomputing. RuSCDays 2018. Communications in Computer and Information Science, vol 965. Springer, Cham. : Springer, 2019. P. 354-366.
Population annealing is a novel Monte Carlo algorithm designed for simulations of systems of statistical mechanics with rugged free-energy landscapes. We discuss a realization of the algorithm for the use on a hybrid computing architecture combining CPUs and GPGPUs. The particular advantage of this approach is that it is fully scalable up to many thousands ...
Added: April 6, 2019
, , Mathematics and Computers in Simulation 2021 No. 181 P. 351-363
Markov Chain Monte Carlo methods become increasingly popular in applied mathematics as a tool for numerical integration with respect to complex and high-dimensional distributions. However, application of MCMC methods to heavy-tailed distributions and distributions with analytically intractable densities turns out to be rather problematic. In this paper, we propose a novel approach towards the use ...
Added: October 31, 2020