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Split Hamiltonian Monte Carlo revisited
dc.contributor.author | Casas, Fernando | |
dc.contributor.author | Sanz-Serna, JM | |
dc.contributor.author | Shaw, Luke Daniel | |
dc.date.accessioned | 2022-10-27T14:36:51Z | |
dc.date.available | 2022-10-27T14:36:51Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | Casas, F., Sanz-Serna, J.M. & Shaw, L. Split Hamiltonian Monte Carlo revisited. Stat Comput 32, 86 (2022). https://doi.org/10.1007/s11222-022-10149-4 | ca_CA |
dc.identifier.uri | http://hdl.handle.net/10234/200619 | |
dc.description.abstract | We study Hamiltonian Monte Carlo (HMC) samplers based on splitting the Hamiltonian H as H0(θ , p)+U1(θ ), where H0 is quadratic and U1 small. We show that, in general, such samplers suffer from stepsize stability restrictions similar to those of algorithms based on the standard leapfrog integrator. The restrictions may be circumvented by preconditioning the dynamics. Numerical experiments show that, when the H0(θ , p) + U1(θ ) splitting is combined with preconditioning, it is possible to construct samplers far more efficient than standard leapfrog HMC. | ca_CA |
dc.description.sponsorShip | Funding for open access charge: CRUE-Universitat Jaume I | |
dc.format.extent | 14 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer | ca_CA |
dc.relation.isPartOf | Statistics and Computing (2022) 32:86 | ca_CA |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | ca_CA |
dc.subject | Markov chain Monte Carlo | ca_CA |
dc.subject | Hamiltonian dynamics | ca_CA |
dc.subject | Bayesian analysis | ca_CA |
dc.subject | Splitting integrators | ca_CA |
dc.title | Split Hamiltonian Monte Carlo revisited | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | https://doi.org/10.1007/s11222-022-10149-4 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion | ca_CA |
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