Related papers: MCMC using Hamiltonian dynamics
We construct an effective Hamiltonian via Monte Carlo from a given action. This Hamiltonian describes physics in the low energy regime. We test it by computing spectrum, wave functions and thermodynamical observables (average energy and…
Yang et al. (2016) proved that the symmetric random walk Metropolis--Hastings algorithm for Bayesian variable selection is rapidly mixing under mild high-dimensional assumptions. We propose a novel MCMC sampler using an informed proposal…
Hamiltonian Monte Carlo is typically based on the assumption of an underlying canonical symplectic structure. Numerical integrators designed for the canonical structure are incompatible with motion generated by non-canonical dynamics. These…
The Hamiltonian Monte Carlo (HMC) method allows sampling from continuous densities. Favorable scaling with dimension has led to wide adoption of HMC by the statistics community. Modern auto-differentiating software should allow more…
The problem of the reconstruction of the large scale density and velocity fields from peculiar velocities surveys is addressed here within a Bayesian framework by means of Hamiltonian Monte Carlo (HMC) sampling. The HAmiltonian Monte carlo…
In most sampling algorithms, including Hamiltonian Monte Carlo, transition rates between states correspond to the probability of making a transition in a single time step, and are constrained to be less than or equal to 1. We derive a…
We develop Microcanonical Hamiltonian Monte Carlo (MCHMC), a class of models which follow a fixed energy Hamiltonian dynamics, in contrast to Hamiltonian Monte Carlo (HMC), which follows canonical distribution with different energy levels.…
We propose a hybrid Monte Carlo (HMC) technique applicable to high-dimensional multivariate normal distributions that effectively samples along chaotic trajectories. The method is predicated on the freedom of choice of the HMC momentum…
We present an approach to interface branching random walks with Markov chain Monte Carlo sampling, and to switch seamlessly between the two. The approach is discussed in the context of auxiliary-field quantum Monte Carlo (AFQMC) but is…
In engineering examples, one often encounters the need to sample from unnormalized distributions with complex shapes that may also be implicitly defined through a physical or numerical simulation model, making it computationally expensive…
We present several implementations of the Metropolis method, an adaptive Monte Carlo algorithm, which allow for the calculation of multi-dimensional integrals over arbitrary on-shell four-momentum phase space. The Metropolis technique…
Hamiltonian Monte Carlo (HMC) is a Markov chain Monte Carlo (MCMC) approach that exhibits favourable exploration properties in high-dimensional models such as neural networks. Unfortunately, HMC has limited use in large-data regimes and…
Constantine et al. (2016) introduced a Metropolis-Hastings (MH) approach that target the active subspace of a posterior distribution: a linearly projected subspace that is informed by the likelihood. Schuster et al. (2017) refined this…
The Metropolis-Hastings algorithm has been extensively studied in the estimation and simulation literature, with most prior work focusing on convergence behavior and asymptotic theory. However, its covariance structure-an important…
The past few years have witnessed an increased interest in learning Hamiltonian dynamics in deep learning frameworks. As an inductive bias based on physical laws, Hamiltonian dynamics endow neural networks with accurate long-term…
Hamiltonian systems are known to conserve the Hamiltonian function, which describes the energy evolution over time. Obtaining a numerical spatio-temporal scheme that accurately preserves the discretized Hamiltonian function is often a…
Hamiltonian systems with multiple timescales arise in molecular dynamics, classical mechanics, and theoretical physics. Long-time numerical integration of such systems requires resolving fast dynamics with very small time steps, which…
Hamiltonian Monte Carlo (HMC) is an efficient method of simulating smooth distributions and has motivated the widely used No-U-turn Sampler (NUTS) and software Stan. We build on NUTS and the technique of "unbiased sampling" to design HMC…
We show that for any multiple-try Metropolis algorithm, one can always accept the proposal and evaluate the importance weight that is needed to correct for the bias without extra computational cost. This results in a general, convenient,…
In recent years efficient algorithms have been developed for the numerical computation of relativistic single-particle path integrals in quantum field theory. Here, we adapt this "worldline Monte Carlo" approach to the standard problem of…