Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply

DOI10.1111/J.1467-9868.2010.00765.XzbMATH Open1411.62071OpenAlexW1545319692WikidataQ56700917 ScholiaQ56700917MaRDI QIDQ4631607FDOQ4631607

Authors: Ben Calderhead, M. Girolami 

Publication date: 12 April 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2010.00765.x

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zbMATH Keywords

Bayesian inferenceMarkov chain Monte Carlo methodsLangevin diffusionRiemann manifoldsgeometry in statisticsHamiltonian Monte Carlo methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Directional data; spatial statistics (62H11) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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

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• Deep composition of tensor-trains using squared inverse Rosenblatt transports
• Ergodic SDEs on submanifolds and related numerical sampling schemes
• Arbitrary conditional inference in variational autoencoders via fast prior network training
• Statistical Finite Elements via Langevin Dynamics
• Convex non-parametric least squares, causal structures and productivity
• Stochastic gradient MCMC for state space models
• A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems
• Entropy-based closure for probabilistic learning on manifolds
• Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
• Nearly optimal Bayesian shrinkage for high-dimensional regression
• Hamiltonian Monte Carlo with energy conserving subsampling
• An adaptive Hessian approximated stochastic gradient MCMC method
• Bayesian sparse learning with preconditioned stochastic gradient MCMC and its applications
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• Some recent developments in Markov chain Monte Carlo for cointegrated time series
• Stochastic zeroth-order discretizations of Langevin diffusions for Bayesian inference
• Hamiltonian Monte Carlo based on evidence framework for Bayesian learning to neural network
• On the estimation of technical and allocative efficiency in a panel stochastic production frontier system model: some new formulations and generalizations
• Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
• Learning physics-based models from data: perspectives from inverse problems and model reduction
• Generalized estimation of productivity with multiple bad outputs: the importance of materials balance constraints
• Forward Event-Chain Monte Carlo: Fast Sampling by Randomness Control in Irreversible Markov Chains
• A stable manifold MCMC method for high dimensions
• Laplace approximation and natural gradient for Gaussian process regression with heteroscedastic Student-\(t\) model
• Is there an analog of Nesterov acceleration for gradient-based MCMC?
• Bayesian inversion of a diffusion model with application to biology
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• Localization for MCMC: sampling high-dimensional posterior distributions with local structure
• MALA-within-Gibbs samplers for high-dimensional distributions with sparse conditional structure
• Adaptive weighting of Bayesian physics informed neural networks for multitask and multiscale forward and inverse problems
• Stochastic gradient Langevin dynamics with adaptive drifts
• Irreversible samplers from jump and continuous Markov processes
• Flexible Bayesian dynamic modeling of correlation and covariance matrices
• Recycling intermediate steps to improve Hamiltonian Monte Carlo
• Informed proposals for local MCMC in discrete spaces
• Affine invariant interacting Langevin dynamics for Bayesian inference
• Clustering and meta-envelopment in data envelopment analysis
• Markov switching panel with endogenous synchronization effects
• Separable nonlinear least-squares parameter estimation for complex dynamic systems
• LGM split sampler: an efficient MCMC sampling scheme for latent Gaussian models
• Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation
• Emulation-accelerated Hamiltonian Monte Carlo algorithms for parameter estimation and uncertainty quantification in differential equation models
• MALA with annealed proposals: a generalization of locally and globally balanced proposal distributions
• Transfer of macroeconomic shocks in stress tests modeling
• Model selection in Bayesian neural networks via horseshoe priors
• Fokker-Planck particle systems for Bayesian inference: computational approaches
• Geometric adaptive Monte Carlo in random environment
• Bayesian hierarchical modeling of extreme hourly precipitation in Norway
• Shared subspace models for multi-group covariance estimation
• Applying kriging proxies for Markov chain Monte Carlo in reservoir simulation
• Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo
• Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
• Hierarchical models and tuning of random walk Metropolis algorithms
• Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization
• Symmetrically processed splitting integrators for enhanced Hamiltonian Monte Carlo sampling
• Ensemble inference methods for models with noisy and expensive likelihoods
• Bayesian learning of orthogonal embeddings for multi-fidelity Gaussian processes
• Bayesian learning via neural Schrödinger-Föllmer flows
• Split Hamiltonian Monte Carlo revisited
• HMC: reducing the number of rejections by not using leapfrog and some results on the acceptance rate
• Finding the jump rate for fastest decay in the Goldstein-Taylor model
• Endogenous productivity: a new Bayesian perspective
• Support points
• Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
• Adaptive step size selection for Hessian-based manifold Langevin samplers
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• Importance sampling from posterior distributions using copula-like approximations
• SIMD parallel MCMC sampling with applications for big-data Bayesian analytics
• On the geometric ergodicity of Hamiltonian Monte Carlo
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• Markov chain Monte Carlo sampling using a reservoir method
• Asymptotic analysis of the random walk metropolis algorithm on ridged densities
• Importance sampling for Kolmogorov backward equations
• Marginal reversible jump Markov chain Monte Carlo with application to motor unit number estimation
• On the estimation of total factor productivity: a novel Bayesian non-parametric approach
• Statistical Inference, Learning and Models in Big Data
• ATLAS: a geometric approach to learning high-dimensional stochastic systems near manifolds
• Incompressible Euler equations with stochastic forcing: a geometric approach
• Piecewise deterministic Markov processes for continuous-time Monte Carlo
• Designing simple and efficient Markov chain Monte Carlo proposal kernels
• Merging MCMC subposteriors through Gaussian-process approximations
• Variational Hamiltonian Monte Carlo via score matching
• Hamiltonian Monte Carlo acceleration using surrogate functions with random bases
• Noisy Hamiltonian Monte Carlo for Doubly Intractable Distributions
• Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation
• Intrinsic stochastic differential equations as jets
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• On the application of improved symplectic integrators in Hamiltonian Monte Carlo
• Modified Hamiltonian Monte Carlo for Bayesian inference
• Stochastic gradient Hamiltonian Monte Carlo with variance reduction for Bayesian inference
• Stochastic gradient Markov chain Monte Carlo
• Smooth approximations to monotone concave functions in production analysis: an alternative to nonparametric concave least squares
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• Parallel local approximation MCMC for expensive models
• Bayesian non-parametric modeling for integro-difference equations

Uses Software

• Matlab

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