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 an irreversible part of the dynamics into a chain. This is achieved by replacin...

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Veröffentlicht in:	arXiv.org 2019-07
Hauptverfasser:	Radivojević, Tijana, Akhmatskaya, Elena
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Computer simulation Importance sampling Momentum Monte Carlo simulation Random walk Riemann manifold Samples Sampling methods Software Statistical methods Statistical models Statistics - Computation Statistics - Methodology
Online-Zugang:	Volltext
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