Energy-preserving splitting integrators for sampling from Gaussian distributions with Hamiltonian Monte Carlo method
The diffusive behaviour of simple random-walk proposals of many Markov Chain
Monte Carlo (MCMC) algorithms results in slow exploration of the state space making inefficient
the convergence to a target distribution. Hamiltonian/Hybrid Monte Carlo (HMC), by introducing fictious momentum variables, adopts Hamiltonian dynamics, rather than a probability distribution, to propose future states in the Markov chain. Splitting schemes are numerical integrators for
Hamiltonian problems that may advantageously replace the St¨ormer-Verlet method within HMC
methodology.