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)

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• Less interaction with forward models in Langevin dynamics: enrichment and homotopy
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• Intuitive joint priors for Bayesian linear multilevel models: the R2D2M2 prior
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• An integrated method for simultaneous calibration and parameter selection in computer models
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• Statistical inference for stochastic differential equations
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