BIRS Workshop Lecture Videos
A Constructive Approach to PDMPs Power, Samuel
Piecewise-Deterministic Markov Processes (PDMPs) have attracted attention in recent years as a non-reversible alternative to traditional reversible MCMC methods. By using a combination of deterministic dynamics and jump processes, these methods are often able to suppress random-walk behaviour and reach equilibrium rapidly. Although the PDMP framework accommodates at wide range of underlying dynamics in principle, existing approaches have tended to use quite simple dynamics, such as straight lines and elliptical orbits. In this work, I present a procedure which allows one to use a general dynamical system in the PDMP framework to sample from a given measure. Correctness of the procedure is established in a general setting, and specific, constructive recommendations are made for how to implement the resulting algorithms in practice.
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