Questions tagged [hamiltonian-monte-carlo]

Tag for questions related to Hamiltonian Monte Carlo.

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What is a representation of positive numbers summing to one that can be sampled via HMC?

I have a probability density $f(x): \mathbb{R}^n \rightarrow \mathbb{R}$ whose argument vector $x$ satisfies the constraints that all elements are positive and sum to unity. I need to generate samples ...
24 views

Combining MCMC with Variatonal Inference

I have a Gibbs sampler that is mixing terribly slowly. I have a hunch that if I sample a parameter pair as a single block, it would improve convergence. I tried HMC within Gibbs, but it's also slow. I ...
1 vote
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Hamiltonian trajectory stays in the typical set?

I'm currently studying Hamiltonian MCMC by reading Betancourt's 2014 and Neal's 2011 pedagogical papers, but I still don't understand why following a Hamiltonian trajectory for our proposed update ...
85 views

volume preservation in MCMC

In the paper of MCMC using Hamiltonian dynamics, there is the following statement on volume preservation. What does it mean exactly? I am not very clear about the ...
• 3,049
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what is the advantage of using Hamilton dynamics in sampling methods? [duplicate]

I am wondering apart form being gradient based sampling methods, what is the advantages of using Hamiltonian MCMC?
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Use Monte Carlo to produce new 'p' correlated data from existing data [duplicate]

As mentioned above, I have a problem where I need to generate new data Y from an existing data X such that Y is p correlated to X. I know their are several ways to do it but I want to know if monte ...
197 views

Step-size adaptation of NUTS within Gibbs

I am trying to solve a hierarchical problem with a Gibbs sampler. I do not have closed-form expressions for the conditionals, thus I have to use another MCMC method within the Gibbs scheme to sample ...
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1 vote
653 views

Regarding Gibbs sampling and HMC in fitting Bayesian model, their differences and advantages

I have a question regarding the two MCMC algorithms, Gibbs sampling and Hamiltonian Monte Carlo (HMC) for performing the Bayesian analysis. If using Gibbs sampling, my understanding is that we need to ...
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823 views

MCMC sampling for a model with a multinomial choice--so the parameters need to sum to 1

this is a head-scratcher for me, but a very interesting problem. So I have a stochastic simulation model for a hiring process. Basically different groups get hired into a company with different ...
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201 views

Hamiltonian Monte Carlo (or Langevin Monte Carlo) on a Sphere

I want to perform Hamiltonian Monte Carlo (HMC) or Langevin Monte Carlo (LMC) on a spherical domain $\mathbb{S}^{D-1}$ embedded in a Euclidean space $\mathbb{R}^D$. My energy function is a deep neural ...
1 vote
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1 vote
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Does specifying normalizing constant significantly improves Hamiltonian Monte Carlo?

From my understanding the energy function needs only be specified such that it is proportional to the log density, and not specifying the normalizing constant should not greatly impact the sampling ...
124 views

Is there an HMC algorithm that estimates a model with noncontinuous parameters?

Is there an HMC algorithm that estimates a model with noncontinuous parameters? All of the intuition I have for how HMC surfs around in the phase space is based on examples for posterior distributions ...
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153 views

Why volume preservation is important for Metropolis update? [duplicate]

I think my question is naive but I would like to ask why why volume preservation is important for MCMC and specifically Metropolis update.I'm reading the following paper https://arxiv.org/pdf/1206....
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Hamiltonian MCMC information gathering [duplicate]

I started gathering information about Hamiltonian MCMC and I would like to ask if someone knows some good papers or books.If it possible notes that give a detailed explanation of Hamiltonian MCMC. ...
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Is the MC produced by HMC reversible?

I know that the deterministic dynamics in Hamiltonian Monte Carlo/Hybrid Monte Carlo are reversible and the numerical integrators one uses to approximate them are reversible too. But HMC consists of 2 ...
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What is the purpose of "transformed variables" in Stan?

I find references to transformed values in the Stan Reference and User Guides, and example code but no clear tutorial explanation. I'd be grateful for a link. Michael Betancourt, in his Stan ...
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Adaptive selection of Mass values in Hamiltonian Monte-Carlo?

I know there are good solutions for adaptive selection of path lengths and step-size for Hamiltonian Monte-Carlo (e.g. the NUTS sampler), but for the sampler to work efficiently we also require that ...
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Can I use Hamiltionian Monte Carlo when my likelihood is not a direct function of my parameters?

By "not a direct function of my parameters" I mean the following. I have some observed K-dimensional data and a model that can generate synthetic data based on 6 free parameters. I use this model to ...
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No-U-Turn Sampler (NUTS) for Hamiltonian Monte Carlo (HMC): how do I understand the doubling process?

I'm reading the original NUTS paper by Hoffman and Gelman, but couldn't fully understand the recursively doubling process. The following figure is taken from the paper. The NUTS process starts ...
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Hamiltonian Monte Carlo for dummies

Could you provide a step-by-step for dummies explanation of how Hamiltonian Monte Carlo work? PS: I've already read the answers here, Hamiltonian monte carlo, and here, Hamiltonian Monte Carlo vs. ...
2k views

Hamiltonian Monte Carlo: how to make sense of the Metropolis-Hasting proposal?

I am trying to understand the inner working of Hamiltonian Monte Carlo (HMC), but can't fully understand the part when we replace the deterministic time-integration with a Metropolis-Hasting proposal. ...
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Understanding the Typical Set for Markov chain Monte Carlo sampling

I started reading "A Conceptual Introduction to Hamiltonian Monte Carlo" today, and I've gotten stuck on understanding Betancourt's explanation of what a "typical set" is. If $q_1, q_2, \ldots, q_n$ ...
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Hamiltonian Monte Carlo (HMC): what's the intuition and justification behind a Gaussian-distributed momentum variable?

I am reading an awesome introductory HMC paper by Prof. Michael Betancourt, but getting stuck in understanding how do we go about the choice of the distribution of the momentum. Summary The basic ...
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For Hamiltonian Monte Carlo, why does negating the momentum variables result in a symmetric proposal?

I have been going through Radford Neal's excellent HMC book chapter in detail. However, there is one detail that I'm really obsessing with now, and I'm not sure if I'm thinking about it right. When ...
892 views

Proposal distribution in Hamiltonian Monte Carlo

I have been reading A Conceptual Introduction to Hamiltonian Monte Carlo by Betancourt (https://arxiv.org/abs/1701.02434), which is a great introduction to HMC, but there is one part that I can't get ...
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Plotting the typical set of a Gaussian distribution

There is this article where the author Michael Betancourt uses this image to convey the concept of the typical set in a distribution. I would like to plot the typical set of a univariate or a ...
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How to know if the derivatives exist in Hamiltonian Monte Carlo?

In section 3.2 of Radford Neal's take on HMC he says: We must also be able to compute the partial derivatives of the log of the density function. These derivatives must therefore exist, except ...
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Hamiltonian Monte Carlo vs. Sequential Monte Carlo

I am trying to get a feel for the relative merits and drawbacks, as well as different application domains of these two MCMC schemes. When would you use which and why? When might one fail but the ...
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I'm trying to learn about Hamiltonian Monte Carlo. Therefore I tried to infer the Parameters of a Multivariate Normal given some samples. My procedure is the following: Define $\mu$ and $\Sigma$ ...