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Adaptive multi-stage integration schemes for Hamiltonian Monte Carlo
Hamiltonian Monte Carlo (HMC) is a powerful tool for Bayesian statistical inference due to its potential to rapidly explore high dimensional state space, avoiding the random walk behavior typical of many Markov Chain Monte ...
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 ...