Precomputing strategy for Hamiltonian Monte Carlo method based on regularity in parameter space

DOI10.1007/S00180-016-0683-1zbMath1417.65018arXiv1504.01418OpenAlexW2121314186MaRDI QIDQ2358919

Babak Shahbaba, Cheng Zhang, Hong-Kai Zhao

Publication date: 27 June 2017

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.01418

zbMATH Keywords

sparse grid interpolationdomain of interestforce map

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Interpolation in approximation theory (41A05)

Related Items (7)

Accelerating pseudo-marginal MCMC using Gaussian processes ⋮ On the accept-reject mechanism for Metropolis-Hastings algorithms ⋮ A data-driven and model-based accelerated Hamiltonian Monte Carlo method for Bayesian elliptic inverse problems ⋮ Hamiltonian Monte Carlo acceleration using surrogate functions with random bases ⋮ Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo ⋮ Scalable Bayesian inference for the inverse temperature of a hidden Potts model ⋮ Modified Hamiltonian Monte Carlo for Bayesian inference

Uses Software

• Spinterp

Cites Work

• Unnamed Item
• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Hybrid Monte Carlo on Hilbert spaces
• Split Hamiltonian Monte Carlo
• Explicit cost bounds of algorithms for multivariate tensor product problems
• High dimensional polynomial interpolation on sparse grids
• Efficient Markov Chain Monte Carlo Methods for Decoding Neural Spike Trains
• Uncertainty Quantification and Weak Approximation of an Elliptic Inverse Problem
• Practical Markov Chain Monte Carlo
• Algorithm 847
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Equation of State Calculations by Fast Computing Machines
• Sparse grids

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