A Non-asymptotic Analysis for Learning and Applying a Preconditioner in MCMC
arXiv:2602.10714v1 Announce Type: cross Abstract: Preconditioning is a common method applied to modify Markov chain Monte Carlo algorithms with the goal of making them more efficient. In practice it is often extremely effective, even when the preconditioner is learned from the chain. We analyse and compare the finite-time computational costs of schemes which learn a preconditioner based on the target covariance or the expected Hessian of the target potential with that of a corresponding scheme that does not […]