Hong-Ye Tan

PICKLES: Covariance-Preconditioned Kinetic Langevin Ensemble Sampler

We propose a covariance-preconditioned kinetic Langevin ensemble sampler named PICKLES. This is a kinetic analogue of the affine invariant interacting Langevin dynamics (ALDI). PICKLES uses a rectangular covariance square root as a preconditioner to avoid computing matrix inverses or square roots, leading to position a...