Higher order Langevin Monte Carlo algorithm
نویسندگان
چکیده
منابع مشابه
Computational Higher Order Quasi-Monte Carlo Integration
The efficient construction of higher-order interlaced polynomial lattice rules introduced recently in [6] is considered and the computational performance of these higher-order QMC rules is investigated on a suite of parametric, highdimensional test integrand functions. After reviewing the principles of their construction by the “fast component-by-component” (CBC) algorithm due to Nuyens and Coo...
متن کاملRiemann Manifold Langevin and Hamiltonian Monte Carlo
This paper proposes Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling methods defined on the Riemann manifold to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The methods provide fully automated adaptation mechanisms that circumvent the costly pilot runs required to tu...
متن کاملStochastic Quasi-Newton Langevin Monte Carlo
Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC might suffer from poor mixing rates when random variables exhibit strong couplings under the target densities or big scale differences. In this study, we propos...
متن کاملMultilevel higher order Quasi-Monte Carlo Bayesian Estimation
We propose and analyze deterministic multilevel approximations for Bayesian inversion of operator equations with uncertain distributed parameters, subject to additive gaussian measurement data. The algorithms use a multilevel (ML) approach based on deterministic, higher order quasi-Monte Carlo (HoQMC) quadrature for approximating the high-dimensional expectations, which arise in the Bayesian es...
متن کاملHigher Order Hybrid Monte Carlo at Finite Temperature
The standard hybrid Monte Carlo algorithm uses the second order integrator at the molecular dynamics step. This choice of the integrator is not always the best. We study the performance of the hybrid Monte Carlo algorithm for lattice QCD with higher order integrators in both zero and finite temperature phases and find that in the finite temperature phase the performance of the algorithm can be ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2019
ISSN: 1935-7524
DOI: 10.1214/19-ejs1615