Sticky pdmp samplers for sparse and local inference problems

HIGHLIGHTS

SUMMARY

The resulting samplers and processes are referred to as sticky samplers and sticky piecewise deterministic Markov processes respectively. Section 2 formally introduces sticky PDMP samplers and gives the main theoretical results for the sticky Zig-Zag sampler. The authors analyse and compare the computational complexity and the mixing times of both the sticky Zig-Zag sampler and the Gibbs sampler. As the ordinary Sticky Zig-Zag sampler would require storing and ordering 1 million elements in the priority queue the authors ran the Sticky Zig-Zag sampler with sparse implementation as detailed in Remark . . .

 



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