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Forward Event-Chain Monte Carlo: Fast sampling by randomness control in irreversible Markov chains

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Academic year: 2021

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Figure 1: After an event, a new direction can be picked in a deterministic way (Reflection or Straight kernel) or, by exploiting the global symmetry around ∇U, the new direction ˜y is picked randomly according to the  decompo-sition of the kernel Q into K
Figure 2: First 1000 samples (red crosses) for the 400-dimensional zero-mean Gaussian distribution with covariance matrix given by (15) (contoured) generated from the same initial position
Figure 2 exhibits section plots showing the first 1000 samples generated from an initial position at the origin
Figure 4: Autocorrelation functions C of U (Left), kxk 2 (Middle) and x (Right) for the zero-mean Gaussian distribution with covariance matrix given by (15) and d = 400
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