Hamiltonian Monte Carlo

E260030

Hamiltonian Monte Carlo is an advanced Markov chain Monte Carlo sampling algorithm that uses concepts from Hamiltonian dynamics to efficiently explore complex, high-dimensional probability distributions.

All labels observed (3)

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Statements (51)

Predicate Object
instanceOf Bayesian computation method
Markov chain Monte Carlo algorithm
Monte Carlo method
sampling algorithm
advantageOver Metropolis–Hastings with local proposals
Metropolis algorithm
surface form: random-walk Metropolis
aimsTo efficiently explore complex probability distributions
efficiently explore high-dimensional probability distributions
alsoKnownAs Hamiltonian Monte Carlo
surface form: Hybrid Monte Carlo
assumes continuous parameter space
basedOn Hamiltonian (time translation generator)
surface form: Hamiltonian function

Hamiltonian mechanics
surface form: Hamiltonian system
benefit better mixing in high dimensions
lower autocorrelation between samples
more efficient exploration of posterior geometry
reduced random walk behavior
generalization No-U-Turn Sampler
Hamiltonian Monte Carlo self-linksurface differs
surface form: Riemannian Manifold Hamiltonian Monte Carlo
hasHyperparameter mass matrix
number of leapfrog steps
step size
implementedIn NumPyro
PyMC3
surface form: PyMC

Stan
TensorFlow Probability (JAX backend)
surface form: TensorFlow Probability
introducedBy Radford M. Neal
introducesAuxiliaryVariable momentum
keyProperty approximate energy conservation
reversibility
volume preservation
limitation less suitable for discrete parameters
requires gradient computations
modelsStateWith momentum variables
position variables
requires differentiable target density
gradient of log target density
targetDistribution posterior distribution
probability density
typicalApplication posterior inference in complex models
typicallyUses leapfrog integrator
symplectic integrator
usedIn Bayesian hierarchical models
Bayesian machine learning
Bayesian inference
surface form: Bayesian statistics

computational biology
computational physics
usesConceptsFrom Hamiltonian dynamics
classical mechanics
usesTransitionKernel Metropolis acceptance step
deterministic Hamiltonian dynamics
yearOfEarlyDevelopment late 1980s

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Referenced by (5)

Full triples — surface form annotated when it differs from this entity's canonical label.

Markov chain Monte Carlo hasMethod Hamiltonian Monte Carlo
Metropolis algorithm relatedTo Hamiltonian Monte Carlo
Gibbs sampling relatedTo Hamiltonian Monte Carlo
Hamiltonian Monte Carlo generalization Hamiltonian Monte Carlo self-linksurface differs
this entity surface form: Riemannian Manifold Hamiltonian Monte Carlo
Hamiltonian Monte Carlo alsoKnownAs Hamiltonian Monte Carlo
this entity surface form: Hybrid Monte Carlo