An adaptive MCMC method constructs a sparsely parametrized dense preconditioner from online PCA eigeninformation via diagonal and reflection matrices, showing better absolute performance than diagonal methods and better time-normalized performance than dense alternatives.
The Barker proposal: Combining robustness and efficiency in gradient-based MCMC
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High-dimensional Adaptive MCMC with Reduced Computational Complexity
An adaptive MCMC method constructs a sparsely parametrized dense preconditioner from online PCA eigeninformation via diagonal and reflection matrices, showing better absolute performance than diagonal methods and better time-normalized performance than dense alternatives.