MCMC using Hamiltonian dynamics

zbMATH Open1229.65018MaRDI QIDQ3172405FDOQ3172405

Authors: Radford Neal 

Publication date: 5 October 2011

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zbMATH Keywords

Hamiltonian Monte CarloMarkov chain Monte Carlo methodHamiltonian dynamicsleapfrog scheme

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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• Is there an analog of Nesterov acceleration for gradient-based MCMC?
• Powered embarrassing parallel MCMC sampling in Bayesian inference, a weighted average intuition
• Time-varying auto-regressive models for count time-series
• Accelerating numerical simulation of continuous-time Boolean satisfiability solver using discrete gradient
• The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC
• Bayesian inversion using adaptive polynomial chaos kriging within subset simulation
• Bayesian non-parametric modeling for integro-difference equations
• Irreversible samplers from jump and continuous Markov processes
• Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions: continuous dynamics
• Bayesian regression and classification using Gaussian process priors indexed by probability density functions
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• Robust joint modelling of longitudinal and survival data: Incorporating a time‐varying degrees‐of‐freedom parameter
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• A spatial mixed-effects regression model for electoral data
• A shared spatial model for multivariate extreme-valued binary data with non-random missingness
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• Geometric MCMC for infinite-dimensional inverse problems
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• Precomputing strategy for Hamiltonian Monte Carlo method based on regularity in parameter space
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• Bayesian neural networks for uncertainty quantification in data-driven materials modeling
• Emulation-accelerated Hamiltonian Monte Carlo algorithms for parameter estimation and uncertainty quantification in differential equation models
• Transfer of macroeconomic shocks in stress tests modeling
• B-PINNs: Bayesian physics-informed neural networks for forward and inverse PDE problems with noisy data
• Geometric integrators and the Hamiltonian Monte Carlo method
• Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification
• Bayesian differential programming for robust systems identification under uncertainty
• Contaminant transport forecasting in the subsurface using a Bayesian framework
• Proximal Markov chain Monte Carlo algorithms
• Multi-fidelity Bayesian neural networks: algorithms and applications
• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• An adaptively weighted stochastic gradient MCMC algorithm for Monte Carlo simulation and global optimization
• Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions
• Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation
• Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets
• Hierarchical models for relational event sequences
• Statistical and deterministic inverse methods in the geosciences: introduction, review, and application to the nonlinear diffusion equation
• Particle diffusion Monte Carlo (PDMC)
• Considering discrepancy when calibrating a mechanistic electrophysiology model
• Bayesian model selection in the \(\mathcal{M}\)-open setting -- approximate posterior inference and subsampling for efficient large-scale leave-one-out cross-validation via the difference estimator
• Efficient Bayesian inference with latent Hamiltonian neural networks in no-U-turn sampling
• Plateau proposal distributions for adaptive component-wise multiple-try metropolis
• Fast Markov Chain Monte Carlo for High-Dimensional Bayesian Regression Models With Shrinkage Priors
• Fast Bayesian inference on spectral analysis of multivariate stationary time series
• Sticky PDMP samplers for sparse and local inference problems
• Inference over radiative transfer models using variational and expectation maximization methods
• A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems
• Entropy-based closure for probabilistic learning on manifolds
• Probabilistic learning on manifolds (PLoM) with partition
• Mixing time guarantees for unadjusted Hamiltonian Monte Carlo
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• GPU-accelerated particle methods for evaluation of sparse observations for inverse problems constrained by diffusion PDEs
• Scalable Bayesian Inference for Coupled Hidden Markov and Semi-Markov Models
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• Nearly optimal Bayesian shrinkage for high-dimensional regression
• Densities of almost surely terminating probabilistic programs are differentiable almost everywhere
• Multi-stage splitting integrators for sampling with modified Hamiltonian Monte Carlo methods
• Cauchy Markov random field priors for Bayesian inversion
• Bayesian model inversion using stochastic spectral embedding
• Hamiltonian Markov chain Monte Carlo for partitioned sample spaces with application to Bayesian deep neural nets
• Stochastic gradient Hamiltonian Monte Carlo for non-convex learning
• Challenges in Markov chain Monte Carlo for Bayesian neural networks
• Bayesian mitigation of spatial coarsening for a Hawkes model applied to gunfire, wildfire and viral contagion
• Oracle lower bounds for stochastic gradient sampling algorithms
• Stochastic zeroth-order discretizations of Langevin diffusions for Bayesian inference
• Pattern recognition in data as a diagnosis tool
• Hamiltonian Monte Carlo based on evidence framework for Bayesian learning to neural network
• Solving inverse problems in stochastic models using deep neural networks and adversarial training
• Large-scale inference of correlation among mixed-type biological traits with phylogenetic multivariate probit models
• Bayesian Inverse Problems with $l_1$ Priors: A Randomize-Then-Optimize Approach
• MIMIX: A Bayesian Mixed-Effects Model for Microbiome Data From Designed Experiments
• Symmetrically Processed Splitting Integrators for Enhanced Hamiltonian Monte Carlo Sampling
• Couplings for Andersen dynamics
• Penalised t-walk MCMC
• Bayesian inference on structural impulse response functions
• MCMC methods for inference in a mathematical model of pulmonary circulation
• Cox Point Processes: Why One Realisation Is Not Enough
• Convergence of unadjusted Hamiltonian Monte Carlo for mean-field models
• Localization for MCMC: sampling high-dimensional posterior distributions with local structure

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