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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, l
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