3 papers
stat.CO2026
Locally adaptive step sizes for Hamiltonian Monte Carlo methods
Jimmy Huy Tran, Tore Selland Kleppe, Nawaf Bou-Rabee
Exact reversible locally adaptive step sizes are introduced by Bou-Rabee et al. (2026) in the context of the No-U-Turn Hamiltonian Monte Carlo (HMC) sampler for the purpose of high…
stat.CO2025
Numerical Generalized Randomized Hamiltonian Monte Carlo for piecewise smooth target densities
Jimmy Huy Tran, Tore Selland Kleppe
Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the t…
stat.CO2024
Tuning diagonal scale matrices for HMC
Jimmy Huy Tran, Tore Selland Kleppe
Three approaches for adaptively tuning diagonal scale matrices for HMC are discussed and compared. The common practice of scaling according to estimated marginal standard deviation…