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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…

Hamiltonian Monte Carlo can provide powerful inference in complex statistical problems, but ultimately its performance is sensitive to various tuning parameters. In this paper we use the underlying geometry of Hamiltonian Monte Carlo to…

Hamiltonian Monte Carlo has proven a remarkable empirical success, but only recently have we begun to develop a rigorous understanding of why it performs so well on difficult problems and how it is best applied in practice. Unfortunately,…

With its systematic exploration of probability distributions, Hamiltonian Monte Carlo is a potent Markov Chain Monte Carlo technique; it is an approach, however, ultimately contingent on the choice of a suitable Hamiltonian function. By…

Hamiltonian Monte Carlo and underdamped Langevin Monte Carlo are state-of-the-art methods for taking samples from high-dimensional distributions with a differentiable density function. To generate samples, they numerically integrate…

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 algorithms are a foundational pillar of modern computational science, yet their effective application hinges on a deep understanding of their performance trade offs. This paper presents a critical analysis of the evolution of…

Hierarchical modeling provides a framework for modeling the complex interactions typical of problems in applied statistics. By capturing these relationships, however, hierarchical models also introduce distinctive pathologies that quickly…

By leveraging the natural geometry of a smooth probabilistic system, Hamiltonian Monte Carlo yields computationally efficient Markov Chain Monte Carlo estimation. At least provided that the algorithm is sufficiently well-tuned. In this…

In this paper we address the widely-experienced difficulty in tuning Hamiltonian-based Monte Carlo samplers. We develop an algorithm that allows for the adaptation of Hamiltonian and Riemann manifold Hamiltonian Monte Carlo samplers using…

Hamiltonian Monte Carlo is a widely used algorithm for sampling from posterior distributions of complex Bayesian models. It can efficiently explore high-dimensional parameter spaces guided by simulated Hamiltonian flows. However, the…

Monte Carlo integration is a commonly used technique to compute intractable integrals and is typically thought to perform poorly for very high-dimensional integrals. To show that this is not always the case, we examine Monte Carlo…

Latent variable models are increasingly used in economics for high-dimensional categorical data like text and surveys. We demonstrate the effectiveness of Hamiltonian Monte Carlo (HMC) with parallelized automatic differentiation for…

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…

Zero- and two-dimensional crystal defects form in open statistical ensembles, such as the grand canonical, that are usually inaccessible with conventional simulation techniques. This longstanding challenge is overcome with a new Hamiltonian…

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…

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,…

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…

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…

Sampling-based inference has seen a surge of interest in recent years. Hamiltonian Monte Carlo (HMC) has emerged as a powerful algorithm that leverages concepts from Hamiltonian dynamics to efficiently explore complex target distributions.…