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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 Metropolis-based methods. Despite this, HMC often performs sub-optimally on distributions with high correlations or marginal variances on multiple scales because the resulting stiffness forces the leapfrog integrator in HMC to take an unreasonably small stepsize. We provide intuition as well as a formal analysis showing how these multiscale distributions limit the stepsize of leapfrog and we show how the implicit midpoint method can be used, together with Newton-Krylov iteration, to circumvent this limitation and achieve major efficiency gains. Furthermore, we offer practical guidelines for when to choose between implicit midpoint and leapfrog and what stepsize to use for each method, depending on the distribution being sampled. Unlike previous modifications to HMC, our method is generally applicable to highly non-Gaussian distributions exhibiting multiple scales. We illustrate how our method can provide a dramatic speedup over leapfrog in the context of the No-U-Turn sampler (NUTS) applied to several examples.
Riemann manifold Hamiltonian Monte Carlo (RMHMC) has the potential to produce high-quality Markov chain Monte Carlo-output even for very challenging target distributions. To this end, a symmetric positive definite scaling matrix for RMHMC, which deri
Dynamically rescaled Hamiltonian Monte Carlo (DRHMC) is introduced as a computationally fast and easily implemented method for performing full Bayesian analysis in hierarchical statistical models. The method relies on introducing a modified parameter
Continuous time Hamiltonian Monte Carlo is introduced, as a powerful alternative to Markov chain Monte Carlo methods for continuous target distributions. The method is constructed in two steps: First Hamiltonian dynamics are chosen as the determinist
We explore the construction of new symplectic numerical integration schemes to be used in Hamiltonian Monte Carlo and study their efficiency. Two integration schemes from Blanes et al. (2014), and a new scheme based on optimal acceptance probability,
Many problems in machine learning and statistics involve nested expectations and thus do not permit conventional Monte Carlo (MC) estimation. For such problems, one must nest estimators, such that terms in an outer estimator themselves involve calcul