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stat.CO2019★ 2 cited
Implicit Hamiltonian Monte Carlo for Sampling Multiscale Distributions
Arya A. Pourzanjani, Linda R. Petzold
Hamiltonian Monte Carlo (HMC) has been widely adopted in the statistics community because of its ability to sample high-dimensional distributions much more efficiently than other M…
stat.CO2019★ 3 cited
Selecting the Metric in Hamiltonian Monte Carlo
Ben Bales, Arya Pourzanjani, Aki Vehtari +1
We present a selection criterion for the Euclidean metric adapted during warmup in a Hamiltonian Monte Carlo sampler that makes it possible for a sampler to automatically pick the…