Maximum Conditional Entropy Hamiltonian Monte Carlo Sampler

DOI10.1137/20M1341192MaRDI QIDQ5161775zbMATH OpenOpenAlexFDO

Authors Tengchao Yu, Hongqiao Wang, Jinglai Li

Publication date 1 November 2021

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.05275

zbMATH Keywords

Hamiltonian Monte CarloKolmogorov-Sinai entropyMarkov chain Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• Adaptively scaling the Metropolis algorithm using expected squared jumped distance
• An adaptive Metropolis algorithm
• Applied logistic regression
• Bayesian computation for Log-Gaussian Cox processes: a comparative analysis of methods
• Log Gaussian Cox Processes
• Maximum Kolmogorov-Sinai entropy versus minimum mixing time in Markov chains
• MCMC using Hamiltonian dynamics
• Optimal tuning of the hybrid Monte Carlo algorithm
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• Solving large-scale PDE-constrained Bayesian inverse problems with Riemann manifold Hamiltonian Monte Carlo
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo

Describes a project that uses

Uses Software

• aplore3
• BayesDA
• NUTS
• UCI
• Stan
• GitHub

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