Information-geometric Markov chain Monte Carlo methods using diffusions
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Markov chain Monte CarloBayesian inferencemachine learningcomputational statisticsinformation geometrystatistical mechanicsdiffusions
Computational methods in Markov chains (60J22) Statistical aspects of information-theoretic topics (62B10) Directional data; spatial statistics (62H11) Numerical analysis or methods applied to Markov chains (65C40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Discrete-time Markov processes on general state spaces (60J05) Diffusion processes and stochastic analysis on manifolds (58J65)
Abstract: Recent work incorporating geometric ideas in Markov chain Monte Carlo is reviewed in order to highlight these advances and their possible application in a range of domains beyond Statistics. A full exposition of Markov chains and their use in Monte Carlo simulation for Statistical inference and molecular dynamics is provided, with particular emphasis on methods based on Langevin diffusions. After this geometric concepts in Markov chain Monte Carlo are introduced. A full derivation of the Langevin diffusion on a Riemannian manifold is given, together with a discussion of appropriate Riemannian metric choice for different problems. A survey of applications is provided, and some open questions are discussed.
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- scientific article; zbMATH DE number 1782877 (Why is no real title available?)
- scientific article; zbMATH DE number 3106666 (Why is no real title available?)
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Cited in
(15)- On the geometric ergodicity of Hamiltonian Monte Carlo
- Affine invariant interacting Langevin dynamics for Bayesian inference
- Convergence of Position-Dependent MALA with Application to Conditional Simulation in GLMMs
- Monte Carlo Information-Geometric Structures
- Zero variance differential geometric Markov chain Monte Carlo algorithms
- Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
- Asymptotic analysis of the random walk metropolis algorithm on ridged densities
- Adaptive step size selection for Hessian-based manifold Langevin samplers
- Geodesic Monte Carlo on embedded manifolds
- Geometric adaptive Monte Carlo in random environment
- On the Conditional Mutual Information in the Gaussian–Markov Structured Grids
- A fresh Take on ‘Barker Dynamics’ for MCMC
- Computing with Fisher geodesics and extended exponential families
- Geometric Integration of Measure-Preserving Flows for Sampling
- Markov Kernels Local Aggregation for Noise Vanishing Distribution Sampling
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