Adaptive Tuning of Hamiltonian Monte Carlo Within Sequential Monte Carlo
نویسندگان
چکیده
Sequential Monte Carlo (SMC) samplers are an alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used rejuvenate particles. We discuss how calibrate automatically (using current particles) Hamiltonian within SMC. To do so, we build upon adaptive SMC approach of Fearnhead and Taylor (2013), also suggest methods. illustrate advantages using HMC sampler via extensive numerical study.
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ژورنال
عنوان ژورنال: Bayesian Analysis
سال: 2021
ISSN: ['1936-0975', '1931-6690']
DOI: https://doi.org/10.1214/20-ba1222