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 (4)

How this entity was disambiguated

Statements (51)

Predicate Object
instanceOf Bayesian computation method ⓘ
Markov chain Monte Carlo algorithm ⓘ
Monte Carlo method ⓘ
sampling algorithm ⓘ
advantageOver Metropolis–Hastings with local proposals ⓘ
random-walk Metropolis ⓘ
aimsTo efficiently explore complex probability distributions ⓘ
efficiently explore high-dimensional probability distributions ⓘ
alsoKnownAs Hybrid Monte Carlo ⓘ
assumes continuous parameter space ⓘ
basedOn Hamiltonian function ⓘ
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 ⓘ
Riemannian Manifold Hamiltonian Monte Carlo ⓘ
hasHyperparameter mass matrix ⓘ
number of leapfrog steps ⓘ
step size ⓘ
implementedIn NumPyro ⓘ
PyMC ⓘ
linked to: PyMC3

Stan ⓘ
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 statistics ⓘ
linked to: Bayesian inference

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

How these facts were elicited

Referenced by (12)

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 → Riemannian Manifold Hamiltonian Monte Carlo ⓘ
linked to: Hamiltonian Monte Carlo
Hamiltonian Monte Carlo → alsoKnownAs → Hybrid Monte Carlo ⓘ
linked to: Hamiltonian Monte Carlo
TensorFlow Probability (JAX backend) → supports → Hamiltonian Monte Carlo ⓘ
Bayesian logistic regression → inferenceMethod → Hamiltonian Monte Carlo ⓘ
leapfrog integrator → usedFor → Hamiltonian Monte Carlo ⓘ
No-U-Turn Sampler → basedOn → Hamiltonian Monte Carlo ⓘ
No-U-Turn Sampler → hasVariant → NUTS with dual averaging step size adaptation ⓘ
linked to: Hamiltonian Monte Carlo
Stan → primaryInferenceMethod → Hamiltonian Monte Carlo ⓘ
NumPyro → supports → Hamiltonian Monte Carlo ⓘ