Hamiltonian Monte Carlo with explicit, reversible, and volume-preserving adaptive step size control

DOI10.14495/jsiaml.9.33OpenAlexW2607458214MaRDI QIDQ3121483

Michiko Okudo, Hideyuki Suzuki

Publication date: 18 March 2019

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.9.33

zbMATH Keywords

Markov chain Monte CarloHamiltonian Monte Carloadaptive step size control

Mathematics Subject Classification ID

Numerical analysis (65-XX) Systems theory; control (93-XX)

Cites Work

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• Extra chance generalized hybrid Monte Carlo
• Recycling intermediate steps to improve Hamiltonian Monte Carlo
• The geometric foundations of Hamiltonian Monte Carlo
• Equation of State Calculations by Fast Computing Machines
• Markov Chain Monte Carlo and Numerical Differential Equations
• Explicit, Time Reversible, Adaptive Step Size Control

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