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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• Stochastic gradient Hamiltonian Monte Carlo for non-convex learning
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• Bayesian mitigation of spatial coarsening for a Hawkes model applied to gunfire, wildfire and viral contagion
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• A fast multi-fidelity method with uncertainty quantification for complex data correlations: application to vortex-induced vibrations of marine risers
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• Neural network gradient Hamiltonian Monte Carlo
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• Monte Carlo Simulation on the Stiefel Manifold via Polar Expansion
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• Locally adaptive smoothing with Markov random fields and shrinkage priors
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
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• 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
• Flexible Bayesian dynamic modeling of correlation and covariance matrices
• Robust joint modelling of longitudinal and survival data: Incorporating a time‐varying degrees‐of‐freedom parameter
• Exact recording of Metropolis-Hastings-class Monte Carlo simulations using one bit per sample
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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
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