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Modified Hamiltonian Monte Carlo for Bayesian Inference
The Hamiltonian Monte Carlo (HMC) method has been recognized as a powerful sampling tool in computational statistics. We show that performance of HMC can be significantly improved by incorporating importance sampling and ...
Multi-stage splitting integrators for sampling with modified Hamiltonian Monte Carlo methods
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 ...