Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets (Q1704017): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets	scientific article

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instance of

scholarly article

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title

Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets (English)

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author

Tore Selland Kleppe

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published in

Statistics and Computing

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publication date

8 March 2018

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full work available at URL

https://arxiv.org/abs/1612.04093

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zbMATH Keywords

Bayesian hierarchical models

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Hamiltonian Monte Carlo

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Hessian

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MCMC

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metric tensor

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describes a project that uses

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MaRDI publication profile

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cites work

Particle Markov Chain Monte Carlo for Efficient Numerical Simulation

0 references

Optimal tuning of the hybrid Monte Carlo algorithm

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A General Metric for Riemannian Manifold Hamiltonian Monte Carlo

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Fast Sampling of Gaussian Markov Random Fields

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The geometric foundations of Hamiltonian Monte Carlo

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Direct Methods for Sparse Linear Systems

0 references

BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS

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Q2873072

0 references

On markov chain monte carlo methods for nonlinear and non-gaussian state-space models

0 references

Note on the Sampling Distribution for the Metropolis-Hastings Algorithm

0 references

Practical Markov Chain Monte Carlo

0 references

Newton-type methods for unconstrained and linearly constrained optimization

0 references

Q4739659

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Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods

0 references

Q5689624

0 references

Q4954403

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The Gibbs sampler with particle efficient importance sampling for state-space models*

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Adaptive proposal distribution for random walk Metropolis algorithm

0 references

The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo

0 references

Fast Reverse-Mode Automatic Differentiation using Expression Templates in C++

0 references

Adaptive Step Size Selection for Hessian-Based Manifold Langevin Samplers

0 references

Simulating Hamiltonian Dynamics

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An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach

0 references

Q2934079

0 references

Monte Carlo strategies in scientific computing

0 references

On the application of improved symplectic integrators in Hamiltonian Monte Carlo

0 references

A Stochastic Newton MCMC Method for Large-Scale Statistical Inverse Problems with Application to Seismic Inversion

0 references

Bayesian learning for neural networks

0 references

Slice sampling. (With discussions and rejoinder)

0 references

Q3172405

0 references

Numerical Optimization

0 references

On some properties of Markov chain Monte Carlo simulation methods based on the particle filter

0 references

Q4828566

0 references

Langevin diffusions and Metropolis-Hastings algorithms

0 references

Gaussian Markov Random Fields

0 references

Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations

0 references

Particle efficient importance sampling

0 references

A New Modified Cholesky Factorization

0 references

A Revised Modified Cholesky Factorization Algorithm

0 references

Likelihood analysis of non-Gaussian measurement time series

0 references

Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models

0 references

Langevin diffusions and the Metropolis-adjusted Langevin algorithm

0 references

Identifiers

zbMATH Open document ID

1384.65005

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Mathematics Subject Classification ID

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10.1007/S11222-017-9763-5

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Sitelinks

Mathematics(1 entry)

mardi Publication:1704017

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@@ Property / arXiv ID: 1612.04093 / rank @@
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@@ Property / cites work @@
+Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
+Normal rank
@@ Property / cites work @@
+Optimal tuning of the hybrid Monte Carlo algorithm
+Normal rank
@@ Property / cites work @@
+A General Metric for Riemannian Manifold Hamiltonian Monte Carlo
+Normal rank
@@ Property / cites work @@
+Fast Sampling of Gaussian Markov Random Fields
@@ Property / cites work: Fast Sampling of Gaussian Markov Random Fields / rank @@
+Normal rank
@@ Property / cites work @@
+The geometric foundations of Hamiltonian Monte Carlo
+Normal rank
@@ Property / cites work @@
+Direct Methods for Sparse Linear Systems
@@ Property / cites work: Direct Methods for Sparse Linear Systems / rank @@
+Normal rank
@@ Property / cites work @@
+BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
+Normal rank
@@ Property / cites work @@
+Q2873072
@@ Property / cites work: Q2873072 / rank @@
+Normal rank
@@ Property / cites work @@
+On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
+Normal rank
@@ Property / cites work @@
+Note on the Sampling Distribution for the Metropolis-Hastings Algorithm
+Normal rank
@@ Property / cites work @@
+Practical Markov Chain Monte Carlo
@@ Property / cites work: Practical Markov Chain Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+Newton-type methods for unconstrained and linearly constrained optimization
+Normal rank
@@ Property / cites work @@
+Q4739659
@@ Property / cites work: Q4739659 / rank @@
+Normal rank
@@ Property / cites work @@
+Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4954403
@@ Property / cites work: Q4954403 / rank @@
+Normal rank
@@ Property / cites work @@
+The Gibbs sampler with particle efficient importance sampling for state-space models*
+Normal rank
@@ Property / cites work @@
+Adaptive proposal distribution for random walk Metropolis algorithm
+Normal rank
@@ Property / cites work @@
+The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian   Monte Carlo
+Normal rank
@@ Property / cites work @@
+Fast Reverse-Mode Automatic Differentiation using Expression Templates in C++
+Normal rank
@@ Property / cites work @@
+Adaptive Step Size Selection for Hessian-Based Manifold Langevin Samplers
+Normal rank
@@ Property / cites work @@
+Simulating Hamiltonian Dynamics
@@ Property / cites work: Simulating Hamiltonian Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
+Normal rank
@@ Property / cites work @@
+Q2934079
@@ Property / cites work: Q2934079 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo strategies in scientific computing
@@ Property / cites work: Monte Carlo strategies in scientific computing / rank @@
+Normal rank
@@ Property / cites work @@
+On the application of improved symplectic integrators in Hamiltonian Monte Carlo
+Normal rank
@@ Property / cites work @@
+A Stochastic Newton MCMC Method for Large-Scale Statistical Inverse Problems with Application to Seismic Inversion
+Normal rank
@@ Property / cites work @@
+Bayesian learning for neural networks
@@ Property / cites work: Bayesian learning for neural networks / rank @@
+Normal rank
@@ Property / cites work @@
+Slice sampling. (With discussions and rejoinder)
@@ Property / cites work: Slice sampling. (With discussions and rejoinder) / rank @@
+Normal rank
@@ Property / cites work @@
+Q3172405
@@ Property / cites work: Q3172405 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Optimization
@@ Property / cites work: Numerical Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
+Normal rank
@@ Property / cites work @@
+Q4828566
@@ Property / cites work: Q4828566 / rank @@
+Normal rank
@@ Property / cites work @@
+Langevin diffusions and Metropolis-Hastings algorithms
+Normal rank
@@ Property / cites work @@
+Gaussian Markov Random Fields
@@ Property / cites work: Gaussian Markov Random Fields / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
+Normal rank
@@ Property / cites work @@
+Particle efficient importance sampling
@@ Property / cites work: Particle efficient importance sampling / rank @@
+Normal rank
@@ Property / cites work @@
+A New Modified Cholesky Factorization
@@ Property / cites work: A New Modified Cholesky Factorization / rank @@
+Normal rank
@@ Property / cites work @@
+A Revised Modified Cholesky Factorization Algorithm
+Normal rank
@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
+Normal rank
@@ Property / cites work @@
+Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models
+Normal rank
@@ Property / cites work @@
+Langevin diffusions and the Metropolis-adjusted Langevin algorithm
+Normal rank
@@ Property / DOI @@
+.1007/S11222-017-9763-5
@@ Property / DOI: 10.1007/S11222-017-9763-5 / rank @@
+Normal rank