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Modified Hamiltonian Monte Carlo for Bayesian Inference
Radivojevic, T.; Akhmatskaya, E.
(2019-07-22)
(2019-07-22)
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
Radivojevic, T.; Fernández-Pendás, M.; Sanz-Serna, J.M.; Akhmatskaya, E. (2018-07-17)
(2018-07-17)
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 ...