HMC: reducing the number of rejections by not using leapfrog and some results on the acceptance rate

DOI10.1016/J.JCP.2021.110333MaRDI QIDQ2124354zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 8 April 2022

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.03253

zbMATH Keywords

Hamiltonian Monte Carlonumerical integratorsexpected acceptance rateexpected energy error

Mathematics Subject Classification ID

Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx) Markov processes (60Jxx)

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Cites work

• scientific article; zbMATH DE number 7096273 (Why is no real title available?)
• A concise introduction to geometric numerical integration
• Adaptive multi-stage integrators for optimal energy conservation in molecular simulations
• Extra chance generalized hybrid Monte Carlo
• Geometric integrators and the Hamiltonian Monte Carlo method
• Hybrid Monte Carlo on Hilbert spaces
• MCMC using Hamiltonian dynamics
• Markov chain Monte Carlo and numerical differential equations
• Multi-stage splitting integrators for sampling with modified Hamiltonian Monte Carlo methods
• Numerical integrators for the hybrid Monte Carlo method
• On the geometric ergodicity of Hamiltonian Monte Carlo
• Optimal tuning of the hybrid Monte Carlo algorithm
• Palindromic 3-stage splitting integrators, a roadmap
• Randomized Hamiltonian Monte Carlo
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• Splitting and composition methods in the numerical integration of differential equations
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
• Theoretical and numerical comparison of some sampling methods for molecular dynamics

Cited in

(6)

• Adaptive multi-stage integration schemes for Hamiltonian Monte Carlo
• Adaptive parameters tuning based on energy-preserving splitting integration for Hamiltonian Monte Carlo method
• On Irreversible Metropolis Sampling Related to Langevin Dynamics
• HMC: avoiding rejections by not using leapfrog and some results on the acceptance rate
• Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling
• Split Hamiltonian Monte Carlo revisited

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• NUTS

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