Related papers: Geometrically Tempered Hamiltonian Monte Carlo

Although Hamiltonian Monte Carlo has proven an empirical success, the lack of a rigorous theoretical understanding of the algorithm has in many ways impeded both principled developments of the method and use of the algorithm in practice. In…

We establish the geometric ergodicity of the preconditioned Hamiltonian Monte Carlo (HMC) algorithm defined on an infinite-dimensional Hilbert space, as developed in [Beskos et al., Stochastic Process. Appl., 2011]. This algorithm can be…

The Hamiltonian Monte Carlo (HMC) algorithm is often lauded for its ability to effectively sample from high-dimensional distributions. In this paper we challenge the presumed domination of HMC for the Bayesian analysis of GLMs. By utilizing…

There has been considerable interest in designing Markov chain Monte Carlo algorithms by exploiting numerical methods for Langevin dynamics, which includes Hamiltonian dynamics as a deterministic case. A prominent approach is Hamiltonian…

Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L1 Wasserstein) distance. The lower bound for the contraction rate is…

A metric tensor for Riemann manifold Monte Carlo particularly suited for non-linear Bayesian hierarchical models is proposed. The metric tensor is built from symmetric positive semidefinite log-density gradient covariance (LGC) matrices,…

We show how to improve the molecular dynamics step of Hybrid Monte Carlo, both by tuning the integrator using Poisson brackets measurements and by the use of force gradient integrators. We present results for moderate lattice sizes.

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…

HMCF "Hamiltonian Monte Carlo for Fields" is a software add-on for the NIFTy "Numerical Information Field Theory" framework implementing Hamiltonian Monte Carlo (HMC) sampling in Python. HMCF as well as NIFTy are designed to address…

We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…

We propose Kernel Hamiltonian Monte Carlo (KMC), a gradient-free adaptive MCMC algorithm based on Hamiltonian Monte Carlo (HMC). On target densities where classical HMC is not an option due to intractable gradients, KMC adaptively learns…

We propose a new sampler that integrates the protocol of parallel tempering with the Nos\'e-Hoover (NH) dynamics. The proposed method can efficiently draw representative samples from complex posterior distributions with multiple isolated…

Importance sampling is a Monte Carlo method which designs estimators of expectations under a target distribution using weighted samples from a proposal distribution. When the target distribution is complex, such as multimodal distributions…

In this article, we describe a {\tt R} package for sampling from an empirical likelihood-based posterior using a Hamiltonian Monte Carlo method. Empirical likelihood-based methodologies have been used in Bayesian modeling of many problems…

Markov chain Monte Carlo (MCMC) algorithms have long been the main workhorses of Bayesian inference. Among them, Hamiltonian Monte Carlo (HMC) has recently become very popular due to its efficiency resulting from effective use of the…

Importance sampling (IS) is a powerful Monte Carlo (MC) technique for approximating intractable integrals, for instance in Bayesian inference. The performance of IS relies heavily on the appropriate choice of the so-called proposal…

The Markov Chain Monte Carlo (MCMC) algorithm is a widely recognised as an efficient method for sampling a specified posterior distribution. However, when the posterior is multi-modal, conventional MCMC algorithms either tend to become…

This paper considers Bayesian parameter estimation of dynamic systems using a Markov Chain Monte Carlo (MCMC) approach. The Metroplis-Hastings (MH) algorithm is employed, and the main contribution of the paper is to examine and illustrate…

We propose a new Monte Carlo method for sampling from multimodal distributions. The idea of this technique is based on splitting the task into two: finding the modes of a target distribution $\pi$ and sampling, given the knowledge of the…

In this article we propose a novel MCMC method based on deterministic transformations T: X x D --> X where X is the state-space and D is some set which may or may not be a subset of X. We refer to our new methodology as Transformation-based…