Variational Hamiltonian Monte Carlo via score matching

DOI10.1214/17-BA1060MaRDI QIDQ1631559zbMATH OpenOpenAlexFDO

Authors Cheng Zhang, Babak Shahbaba, Hongkai Zhao

Publication date 6 December 2018

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.02219, https://projecteuclid.org/euclid.ba/1500948232

zbMATH Keywords

free-form approximationMarkov chain Monte Carlovariational inference

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• A unifying view of sparse approximate Gaussian process regression
• An introduction to variational methods for graphical models
• Approximate Riemannian conjugate gradient learning for fixed-form variational Bayes
• Bayesian Computation with R
• Equation of state calculations by fast computing machines
• Estimation of non-normalized statistical models by score matching
• Explaining variational approximations
• Fixed-form variational posterior approximation through stochastic linear regression
• Graphical models, exponential families, and variational inference
• Hamiltonian Monte Carlo acceleration using surrogate functions with random bases
• MCMC using Hamiltonian dynamics
• Monte Carlo strategies in scientific computing
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
• Trust region Newton method for logistic regression

Cited in

(8)

• Modified Hamiltonian Monte Carlo for Bayesian inference
• Rejoinder on: ``Some recent work on multivariate Gaussian Markov random fields
• Efficient Bayesian inference with latent Hamiltonian neural networks in no-U-turn sampling
• On coregionalized multivariate Gaussian Markov random fields: construction, parameterization, and Bayesian estimation and inference
• A data-driven and model-based accelerated Hamiltonian Monte Carlo method for Bayesian elliptic inverse problems
• A Hamiltonian Monte Carlo EM algorithm for generalized linear mixed models with spatial skew latent variables
• Uncertainty quantification of graph convolution neural network models of evolving processes
• Learning variational autoencoders via MCMC speed measures

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Uses Software

• NUTS

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