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Piecewise Deterministic Markov Processes (PDMP)

Mailing List:

http://listserv.csv.warwick.ac.uk/mailman/listinfo/dmp.reading.group

Zoom Link:

Join Zoom Meeting

https://bristol-ac-uk.zoom.us/j/92141845761?pwd=bEJ3R1JxZ0QxOEF1aFVPZjg1STQyZz09

Meeting ID: 921 4184 5761

Passcode: 193935

Notes for the Meetings:

12/10/2021: Meeting 1, Giorgos

19/10/2021: Meeting 2, Augustin

26/10/2021: Meeting 3, Alice

Literature:

For a good literature review on PDMPs for MCMC see Joris Bierkens' webpage.

Markov Models and Optimisation, Davis (Book) (The main book concerning PDMPs)

Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models, Davis (The first paper, introducing PDMPs)

Analysis Of a Nonreversible Markov Chain Sampler, Diaconis, Holmes, Neal (The idea of lifting to generate non-reversible markov chains, briefly touched upon on Meeting 1)

Piecewise Deterministic Markov Processes and their invariant measures, Durmus, Guillin, Monmarch´e (Very technical paper on ways to check when the PDMP has the right distribution. Maybe leave it for later on and proceed with caution!)

The Zig-Zag process and super-efficient sampling for Bayesian analysis of big data, Bierkens, Fearnhead, Roberts (The main paper on the Zig-Zag process as an MCMC algorithm)

A piecewise deterministic scaling limit of Lifted Metropolis-Hastings in the Curie-Weiss model, Bierkens, Roberts (A first encounter of the Zig-Zag process)

The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method, Bouchard-Cote, Vollmer, Doucet (The main paper on the Bouncy Particle Sampler (BPS) as an MCMC algorithm)