Related papers: Hessian-informed Hamiltonian Monte Carlo for high-…
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility variables of the SV model. First we…
We investigate the properties of the Hybrid Monte-Carlo algorithm (HMC) in high dimensions. HMC develops a Markov chain reversible w.r.t. a given target distribution $\Pi$ by using separable Hamiltonian dynamics with potential $-\log\Pi$.…
The goal of this article is to introduce the Hamiltonian Monte Carlo (HMC) method -- a Hamiltonian dynamics-inspired algorithm for sampling from a Gibbs density $\pi(x) \propto e^{-f(x)}$. We focus on the "idealized" case, where one can…
Probabilistic programming uses programs to express generative models whose posterior probability is then computed by built-in inference engines. A challenging goal is to develop general purpose inference algorithms that work out-of-the-box…
Hamiltonian Monte Carlo is a powerful algorithm for sampling from difficult-to-normalize posterior distributions. However, when the geometry of the posterior is unfavorable, it may take many expensive evaluations of the target distribution…
Hamiltonian Monte Carlo (HMC) is arguably the dominant statistical inference algorithm used in most popular "first-order differentiable" Probabilistic Programming Languages (PPLs). However, the fact that HMC uses derivative information…
We present a new Subset Simulation approach using Hamiltonian neural network-based Monte Carlo sampling for reliability analysis. The proposed strategy combines the superior sampling of the Hamiltonian Monte Carlo method with…
We propose a Bayesian elastic net that uses empirical likelihood and develop an efficient tuning of Hamiltonian Monte Carlo for posterior sampling. The proposed model relaxes the assumptions on the identity of the error distribution,…
The use of the probabilistic approach to solve inverse problems is becoming more popular in the geophysical community, thanks to its ability to address nonlinear forward problems and to provide uncertainty quantification. However, such…
Bayesian inference in the presence of an intractable likelihood function is computationally challenging. When following a Markov chain Monte Carlo (MCMC) approach to approximate the posterior distribution in this context, one typically…
Modified Hamiltonian Monte Carlo (MHMC) methods combine the ideas behind two popular sampling approaches: Hamiltonian Monte Carlo (HMC) and importance sampling. As in the HMC case, the bulk of the computational cost of MHMC algorithms lies…
Leveraging the coherent exploration of Hamiltonian flow, Hamiltonian Monte Carlo produces computationally efficient Monte Carlo estimators, even with respect to complex and high-dimensional target distributions. When confronted with…
We propose a variant of Hamiltonian Monte Carlo (HMC), called the Repelling-Attracting Hamiltonian Monte Carlo (RAHMC), for sampling from multimodal distributions. The key idea that underpins RAHMC is a departure from the conservative…
We develop a novel deep learning method for uncertainty quantification in stochastic partial differential equations based on Bayesian neural network (BNN) and Hamiltonian Monte Carlo (HMC). A BNN efficiently learns the posterior…
This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…
In Bayesian inverse problems, the posterior distribution is used to quantify uncertainty about the reconstructed solution. In practice, Markov chain Monte Carlo algorithms often are used to draw samples from the posterior distribution.…
The coalescence of binary neutron stars are one of the main sources of gravitational waves for ground-based gravitational wave detectors. As Bayesian inference for binary neutron stars is computationally expensive, more efficient and faster…
We propose a splitting Hamiltonian Monte Carlo (SHMC) algorithm, which can be computationally efficient when combined with the random mini-batch strategy. By splitting the potential energy into numerically nonstiff and stiff parts, one…
Hamiltonian Monte Carlo has emerged as a standard tool for posterior computation. In this article, we present an extension that can efficiently explore target distributions with discontinuous densities. Our extension in particular enables…
In many hierarchical inverse problems, not only do we want to estimate high- or infinite-dimensional model parameters in the parameter-to-observable maps, but we also have to estimate hyperparameters that represent critical assumptions in…