Related papers: Numerical Generalized Randomized Hamiltonian Monte…

This paper studies a non-random-walk Markov Chain Monte Carlo method, namely the Hamiltonian Monte Carlo (HMC) method in the context of Subset Simulation used for structural reliability analysis. The HMC method relies on a deterministic…

Hamiltonian Monte Carlo (HMC) is widely used for sampling from high dimensional target distributions with densities known up to proportionality. While HMC exhibits favorable scaling properties in high dimensions, it struggles with strongly…

We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…

Sampling occupies an important position in theories of various scientific fields, and Markov chain Monte Carlo (MCMC) provides the most common technique of sampling. In the progress of MCMC, a huge number of studies have aimed the…

We propose a fast stochastic Hamilton Monte Carlo (HMC) method, for sampling from a smooth and strongly log-concave distribution. At the core of our proposed method is a variance reduction technique inspired by the recent advance in…

Dynamically rescaled Hamiltonian Monte Carlo (DRHMC) is introduced as a computationally fast and easily implemented method for performing full Bayesian analysis in hierarchical statistical models. The method relies on introducing a modified…

Tuning the durations of the Hamiltonian flow in Hamiltonian Monte Carlo (also called Hybrid Monte Carlo) (HMC) involves a tradeoff between computational cost and sampling quality, which is typically challenging to resolve in a satisfactory…

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…

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…

Monte Carlo sampling techniques have broad applications in machine learning, Bayesian posterior inference, and parameter estimation. Often the target distribution takes the form of a product distribution over a dataset with a large number…

Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…

Monte Carlo (MC) sampling methods are widely applied in Bayesian inference, system simulation and optimization problems. The Markov Chain Monte Carlo (MCMC) algorithms are a well-known class of MC methods which generate a Markov chain with…

Markov Chain Monte Carlo inference of target posterior distributions in machine learning is predominately conducted via Hamiltonian Monte Carlo and its variants. This is due to Hamiltonian Monte Carlo based samplers ability to suppress…

Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…

The Hamiltonian Monte Carlo method generates samples by introducing a mechanical system that explores the target density. For distributions on manifolds it is not always simple to perform the mechanics as a result of the lack of global…

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…

This technical report presents pseudo-code for a Riemannian manifold Hamiltonian Monte Carlo (RMHMC) method to efficiently simulate samples from $N$-dimensional posterior distributions $p(x|y)$, where $x \in R^N$ is drawn from a Gaussian…

We present a Hamiltonian Monte Carlo algorithm to sample from multivariate Gaussian distributions in which the target space is constrained by linear and quadratic inequalities or products thereof. The Hamiltonian equations of motion can be…

Hybrid Monte-Carlo (HMC) sampling smoother is a fully non-Gaussian four-dimensional data assimilation algorithm that works by directly sampling the posterior distribution formulated in the Bayesian framework. The smoother in its original…

We consider parallel asynchronous Markov Chain Monte Carlo (MCMC) sampling for problems where we can leverage (stochastic) gradients to define continuous dynamics which explore the target distribution. We outline a solution strategy for…