New symplectic scheme speeds up RMHMC.
problem Reducing computational burden in RMHMC.
method Explicit symplectic integration for non-separable Hamiltonians.
result Significant reduction in higher-order derivative calculations.
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This technical report presents pseudo-code for a Riemannian manifold Hamiltonian Monte Carlo (RMHMC) method to efficiently simulate samples from -dimensional posterior distributions , where is drawn from a Gaussian Process (GP) prior, and observations are independent given . Sufficient…
Geometric Ergodicity in Modified Variations of Riemannian Manifold and Lagrangian Monte Carlostat.ME
This work investigates a mixture of LMC and RMHMC with MMALA for geometric ergodicity.
problem Lack of geometric ergodicity study in Riemannian manifold and Lagrangian Monte Carlo methods.
method Investigates a mixture of LMC and RMHMC with MMALA to achieve geometric ergodicity.
result Demonstrates geometric ergodicity in the mixture of LMC and RMHMC with MMALA.
Improves sampling efficiency for complex Bayesian models.
problem Inference challenges in hierarchical Gaussian-process models.
method Optimised Riemannian-manifold Hamiltonian Monte Carlo (RMHMC) with dynamic programming.
result Significant improvement in sampling efficiency and model evidence calculation.
This technical report is the union of two contributions to the discussion of the Read Paper "Riemann manifold Langevin and Hamiltonian Monte Carlo methods" by B. Calderhead and M. Girolami, presented in front of the Royal Statistical Society on October 13th 2010 and to appear in the Journal of the Royal Statistical Soc…