Published online by Cambridge University Press: 16 May 2025
This chapter focuses on continuous-time MCMC algorithms, particularly those based on piecewise deterministic Markov processes (PDMPs). It introduces PDMPs as a scalable alternative to traditional MCMC, with a detailed explanation of their simulation, invariant distribution, and limiting processes. Various continuous-time samplers, including the bouncy particle sampler and zig-zag process, are compared in terms of efficiency and performance. The chapter also addresses practical aspects of simulating PDMPs, including techniques for exploiting model sparsity and data subsampling. Extensions to these methods, such as handling discontinuous target distributions or distributions defined on spaces of different dimensions, are discussed.
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