Related papers: Fully ergodic simulations using radial updates
The Metropolis-Hastings algorithm allows one to sample asymptotically from any probability distribution $\pi$. There has been recently much work devoted to the development of variants of the MH update which can handle scenarios where such…
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…
Hamiltonian Monte Carlo (HMC) improves the computational efficiency of the Metropolis algorithm by reducing its random walk behavior. Riemannian Manifold HMC (RMHMC) further improves HMC's performance by exploiting the geometric properties…
We apply the Hybrid Monte Carlo method to the simulation of overlap fermions. We give the fermionic force for the molecular dynamics update. We present early results on a small dynamical chiral ensemble.
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 $-\log\Pi$.…
Riemannian manifold Hamiltonian (RMHMC) and Lagrangian Monte Carlo (LMC) have emerged as powerful methods of Bayesian inference. Unlike Euclidean Hamiltonian Monte Carlo (EHMC) and the Metropolis-adjusted Langevin algorithm (MALA), the…
We introduce a new Monte Carlo method for pure gauge theories. It is not intended for use with dynamical fermions. It belongs to the class of Local Hybrid Monte Carlo (LHMC) algorithms, which make use of the locality of the action by…
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 propose a modification of the Hybrid Monte Carlo (HMC) algorithm that overcomes the topological freezing of a two-dimensional $U(1)$ gauge theory with and without fermion content. This algorithm includes reversible jumps between…
The Worldvolume Hybrid Monte Carlo (WV-HMC) method [arXiv:2012.08468] is an efficient and versatile algorithm that mitigates the sign problem while resolving the ergodicity issues inherent in Lefschetz-thimble approaches. We focus on cases…
Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…
Hamiltonian Monte Carlo (HMC) is a state of the art method for sampling from distributions with differentiable densities, but can converge slowly when applied to challenging multimodal problems. Running HMC with a time varying Hamiltonian,…
Hamiltonian Monte Carlo (HMC) sampling methods provide a mechanism for defining distant proposals with high acceptance probabilities in a Metropolis-Hastings framework, enabling more efficient exploration of the state space than standard…
We develop an Evolutionary Markov Chain Monte Carlo (EMCMC) algorithm for sampling spatial partitions that lie within a large and complex spatial state space. Our algorithm combines the advantages of evolutionary algorithms (EAs) as…
It is common practice in Markov chain Monte Carlo to update the simulation one variable (or sub-block of variables) at a time, rather than conduct a single full-dimensional update. When it is possible to draw from each full-conditional…
The main purpose of this paper is to facilitate the communication between the Analytic, Probabilistic and Algorithmic communities. We present a proof of convergence of the Hamiltonian (Hybrid) Monte Carlo algorithm from the point of view of…
Existing rigorous convergence guarantees for the Hamiltonian Monte Carlo (HMC) algorithm use Gaussian auxiliary momentum variables, which are crucially symmetrically distributed. We present a novel convergence analysis for HMC utilizing new…
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…
This paper discusses the irreducibility and geometric ergodicity of the Hamiltonian Monte Carlo (HMC) algorithm. We consider cases where the number of steps of the symplectic integrator is either fixed or random. Under mild conditions on…
Hamiltonian Monte Carlo (HMC) is a popular Markov chain Monte Carlo (MCMC) algorithm that generates proposals for a Metropolis-Hastings algorithm by simulating the dynamics of a Hamiltonian system. However, HMC is sensitive to large time…