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arXiv · 2012.09731

A fresh take on 'Barker dynamics' for MCMC

Max Hird·Samuel Livingstone·Giacomo Zanella
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Abstract

We study a recently introduced gradient-based Markov chain Monte Carlo method based on 'Barker dynamics'. We provide a full derivation of the method from first principles, placing it within a wider class of continuous-time Markov jump processes. We then evaluate the Barker approach numerically on a challenging ill-conditioned logistic regression example with imbalanced data, showing in particular that the algorithm is remarkably robust to irregularity (in this case a high degree of skew) in the target distribution.

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Max Hird, Samuel Livingstone, Giacomo Zanella. 2020-12-17. A fresh take on 'Barker dynamics' for MCMC. https://arxiv.org/abs/2012.09731

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