On the application of improved symplectic integrators in Hamiltonian Monte Carlo

DOI10.1080/03610918.2017.1283703zbMath1446.65200arXiv1608.07048OpenAlexW2962713842MaRDI QIDQ4563427

Tore Selland Kleppe, Janne Mannseth, Hans Julius Skaug

Publication date: 1 June 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.07048

zbMATH Keywords

integration schemeHamiltonian Monte Carloleapfrog methodefficient sample sizeNo-U-Turn samplerparameterized numerical scheme

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Related Items (5)

Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models ⋮ A New Optimality Property of Strang’s Splitting ⋮ Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets ⋮ Symmetrically Processed Splitting Integrators for Enhanced Hamiltonian Monte Carlo Sampling ⋮ Geometric integrators and the Hamiltonian Monte Carlo method

Uses Software

• Stan
• NUTS

Cites Work

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• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Optimal tuning of the hybrid Monte Carlo algorithm
• Monte Carlo strategies in scientific computing.
• Simulating Hamiltonian Dynamics
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods

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