Handbook of Markov Chain Monte Carlo

DOI10.1201/B10905zbMATH Open1218.65001arXiv1206.1901OpenAlexW621546036MaRDI QIDQ3566744FDOQ3566744

Authors:

Publication date: 9 June 2010

Abstract: Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. Though originating in physics, Hamiltonian dynamics can be applied to most problems with continuous state spaces by simply introducing fictitious "momentum" variables. A key to its usefulness is that Hamiltonian dynamics preserves volume, and its trajectories can thus be used to define complex mappings without the need to account for a hard-to-compute Jacobian factor - a property that can be exactly maintained even when the dynamics is approximated by discretizing time. In this review, I discuss theoretical and practical aspects of Hamiltonian Monte Carlo, and present some of its variations, including using windows of states for deciding on acceptance or rejection, computing trajectories using fast approximations, tempering during the course of a trajectory to handle isolated modes, and short-cut methods that prevent useless trajectories from taking much computation time.

Full work available at URL: https://arxiv.org/abs/1206.1901

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to numerical analysis (65-06)

Cited In (only showing first 100 items - show all)

• Information geometry of reversible Markov chains
• The Convergence of Markov Chain Monte Carlo Methods: From the Metropolis Method to Hamiltonian Monte Carlo
• Subsampling MCMC -- an introduction for the survey statistician
• Randomized approaches to accelerate MCMC algorithms for Bayesian inverse problems
• Defect correlators in a \(\mathcal{N} = 2\) SCFT at strong coupling
• Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
• Stochastic modelling of urban structure
• Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
• Comparing two populations using Bayesian Fourier series density estimation
• Analysis of Langevin Monte Carlo via convex optimization
• Adaptive step size selection for Hessian-based manifold Langevin samplers
• Simultaneous adjustment of bias and coverage probabilities for confidence intervals
• Comparison of hit-and-run, slice sampler and random walk Metropolis
• Probabilistic approach to limited-data computed tomography reconstruction
• Efficiency of delayed-acceptance random walk metropolis algorithms
• Bayesian inference and uncertainty quantification for medical image reconstruction with Poisson data
• A transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choice
• Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
• RMCMC: a system for updating Bayesian models
• Boolean Kalman filter and smoother under model uncertainty
• The joint projected normal and skew-normal: a distribution for poly-cylindrical data
• Selection of vine copulas
• Combining noisy well data and expert knowledge in a Bayesian calibration of a flow model under uncertainties: an application to solute transport in the Ticino basin
• An approximate likelihood perspective on ABC methods
• Modelling persistence diagrams with planar point processes, and revealing topology with bagplots
• Linearized forms of individual-level models for large-scale spatial infectious disease systems
• Polynomial convergence rates of piecewise deterministic Markov processes
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Approximation algorithms for the normalizing constant of Gibbs distributions
• Data-free likelihood-informed dimension reduction of Bayesian inverse problems
• Observable dictionary learning for high-dimensional statistical inference
• Bayesian-based predictions of COVID-19 evolution in Texas using multispecies mixture-theoretic continuum models
• Bayesian total loss estimation using shared random effects
• Uncertainty quantification and optimal decisions
• Subsampling sequential Monte Carlo for static Bayesian models
• Convergence and efficiency of adaptive importance sampling techniques with partial biasing
• Stochastic gradient Markov chain Monte Carlo
• A Bayesian approach to parameter inference in queueing networks
• Bayesian inversion of a diffusion model with application to biology
• Powered embarrassing parallel MCMC sampling in Bayesian inference, a weighted average intuition
• A Bayesian hierarchical model for evaluating forensic footwear evidence
• Log-concave sampling: Metropolis-Hastings algorithms are fast
• Bayesian inversion using adaptive polynomial chaos kriging within subset simulation
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Integration of multiple genomic data sources in a Bayesian Cox model for variable selection and prediction
• Hyper-molecules: on the representation and recovery of dynamical structures for applications in flexible macro-molecules in cryo-EM
• Bayesian inference for a flexible class of bivariate beta distributions
• Recycling intermediate steps to improve Hamiltonian Monte Carlo
• Deep variational inference
• Informed proposals for local MCMC in discrete spaces
• Generalized parallel tempering on Bayesian inverse problems
• Bayesian spatial modeling for housing data in South Africa
• A Dirichlet form approach to MCMC optimal scaling
• A general approach to model movement in (highly) fragmented patch networks
• A Bayesian generalized explanatory item response model to account for learning during the test
• Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints
• GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS
• Approximations of geometrically ergodic reversible Markov chains
• Complexity results for MCMC derived from quantitative bounds
• MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS
• Deep state-space Gaussian processes
• Fast derivatives of likelihood functionals for ODE based models using adjoint-state method
• Scalable Optimization-Based Sampling on Function Space
• Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
• Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection
• Accelerating Markov chain Monte Carlo with active subspaces
• Bayesian computation for Log-Gaussian Cox processes: a comparative analysis of methods
• Bayesian inference using intermediate distribution based on coarse multiscale model for time fractional diffusion equations
• Transport map accelerated Markov chain Monte Carlo
• Fast MCMC sampling algorithms on polytopes
• Diffusion approximations and control variates for MCMC
• A MCMC method based on surrogate model and Gaussian process parameterization for infinite Bayesian PDE inversion
• On bias reduction in parametric estimation in stage structured development models
• A Bayesian approach to wavelet-based modelling of discontinuous functions applied to inverse problems
• Complete spatial model calibration
• Spatially adaptive Bayesian image reconstruction through locally-modulated Markov random field models
• Model choice using reversible jump Markov chain Monte Carlo
• Plateau proposal distributions for adaptive component-wise multiple-try metropolis
• Hit-and-run for numerical integration
• Bayesian model comparison for compartmental models with applications in positron emission tomography
• Fast mixing of Metropolized Hamiltonian Monte Carlo: benefits of multi-step gradients
• Stochastic gradient MCMC for state space models
• Bayesian Conditional Transformation Models
• Efficient Multimodal Sampling via Tempered Distribution Flow
• A Bayesian linear model for the high-dimensional inverse problem of seismic tomography
• GPU-accelerated particle methods for evaluation of sparse observations for inverse problems constrained by diffusion PDEs
• A new adaptive approach of the Metropolis-Hastings algorithm applied to structural damage identification using time domain data
• A new approach to choose acceptance cutoff for approximate Bayesian computation
• A new likelihood inequality for models with latent variables
• Deterministic sampling based on Kullback-Leibler divergence and its applications
• Gaussian processes for Bayesian inverse problems associated with linear partial differential equations
• A multiscale strategy for Bayesian inference using transport maps
• A New Optimality Property of Strang’s Splitting
• Stochastic filtering methods in electronic trading
• Forward and backward uncertainty quantification with active subspaces: application to hypersonic flows around a cylinder
• Gradient-free Stein variational gradient descent with kernel approximation
• Scalable conditional deep inverse Rosenblatt transports using tensor trains and gradient-based dimension reduction
• Applied Bayesian Modeling for Assessment of Interpretation Uncertainty in Spatial Domains
• A note on formal constructions of sequential conditional couplings

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