Stochastic approximation Hamiltonian Monte Carlo

DOI10.1080/00949655.2020.1797031MaRDI QIDQ5033464zbMATH OpenOpenAlexFDO

Authors Jonghyun Yun, Minsuk Shin, Ick Hoon Jin, Faming Liang

Publication date 23 February 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.04811

zbMATH Keywords

Hamiltonian Monte Carlomultimodalityneural networksstochastic approximation Monte Carloscalable computation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 48727 (Why is no real title available?)
• A Repelling–Attracting Metropolis Algorithm for Multimodality
• A Stochastic Approximation Method
• Adaptive Markov Chain Monte Carlo through Regeneration
• Annealing stochastic approximation Monte Carlo algorithm for neural network training
• Improving SAMC using smoothing methods: Theory and applications to Bayesian model selection problems
• Irreducibility and geometric ergodicity of Hamiltonian Monte Carlo
• On the geometric ergodicity of Hamiltonian Monte Carlo
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• Split Hamiltonian Monte Carlo
• Stability of Stochastic Approximation under Verifiable Conditions
• Stochastic Approximation in Monte Carlo Computation
• The geometric foundations of Hamiltonian Monte Carlo
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo

Cited in

(7)

• Maximum Conditional Entropy Hamiltonian Monte Carlo Sampler
• Variational Hamiltonian Monte Carlo via score matching
• On the application of improved symplectic integrators in Hamiltonian Monte Carlo
• Hybrid Monte Carlo on Hilbert spaces
• Modified Hamiltonian Monte Carlo for Bayesian inference
• A Hamiltonian Monte Carlo Method for Non-Smooth Energy Sampling
• Reliability analysis of cold-standby systems using a self-stratifying subset simulation method

Describes a project that uses

Uses Software

• Stan
• NUTS

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