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Markov Chain Monte Carlo from Lagrangian Dynamics

Hamiltonian Monte Carlo (HMC) improves the computational e ciency of the Metropolis-Hastings algorithm by reducing its random walk behavior. Riemannian HMC (RHMC) further improves the performance of HMC by exploiting the geometric properties of the parameter space. However, the geometric integrator...

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Bibliografske podrobnosti
izdano v:J Comput Graph Stat
Main Authors: Lan, Shiwei, Stathopoulos, Vasileios, Shahbaba, Babak, Girolami, Mark
Format: Artigo
Jezik:Inglês
Izdano: 2014
Teme:
Online dostop:https://ncbi.nlm.nih.gov/pmc/articles/PMC4521456/
https://ncbi.nlm.nih.gov/pubmed/26240515
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/10618600.2014.902764
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