Hamiltonian-Assisted Metropolis Sampling

DOI10.1080/01621459.2021.1982723arXiv2005.08159OpenAlexW3198973722WikidataQ114101031 ScholiaQ114101031MaRDI QIDQ6165308

Zexi Song, Zhiqiang Tan

Publication date: 4 July 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.08159

zbMATH Keywords

Markov chain Monte Carloauxiliary variablesdetailed balanceHamiltonian Monte Carlounderdamped Langevin dynamicsmetropolis-adjusted Langevin algorithmsmetropolis-Hastings sampling

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

On Irreversible Metropolis Sampling Related to Langevin Dynamics ⋮ High Order Splitting Methods for SDEs Satisfying a Commutativity Condition

Cites Work

• Unnamed Item
• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• The Zig-Zag Process and Super-Efficient Sampling for Bayesian Analysis of Big Data
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• Reversibility of first-order autoregressive processes
• Exponential convergence of Langevin distributions and their discrete approximations
• Markov chains for exploring posterior distributions. (With discussion)
• On sampling from a log-concave density using kinetic Langevin diffusions
• Proposals which speed up function-space MCMC
• Irreversible samplers from jump and continuous Markov processes
• Numerical Integrators for the Hybrid Monte Carlo Method
• Handbook of Markov Chain Monte Carlo
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Auxiliary Gradient-Based Sampling Algorithms
• Equation of State Calculations by Fast Computing Machines
• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• Monte Carlo sampling methods using Markov chains and their applications
• Non-Reversible Parallel Tempering: A Scalable Highly Parallel MCMC Scheme
• Monte Carlo strategies in scientific computing
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• A function space HMC algorithm with second order Langevin diffusion limit
• MCMC methods for functions: modifying old algorithms to make them faster

This page was built for publication: Hamiltonian-Assisted Metropolis Sampling