Methoden vergleichen

	Dynamisches Hamiltonsches Monte-Carlo-Verfahren	Sequentielle Monte-Carlo-Methoden
Fachgebiet	Bayes-Statistik	Bayes-Statistik
Familie	Bayesian methods	Bayesian methods
Entstehungsjahr	2014	1993 (particle filter); 2006 (SMC samplers)
Urheber	Matthew D. Hoffman and Andrew Gelman	Gordon, Salmond & Smith (particle filter); Del Moral, Doucet & Jasra (SMC samplers)
Typ	adaptive MCMC sampler	Sequential Bayesian computation
Wegweisende Quelle	Hoffman, M. D. & Gelman, A. (2014). The No-U-Turn Sampler: Adaptively setting path lengths in Hamiltonian Monte Carlo. Journal of Machine Learning Research, 15(1), 1593–1623.	Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEE Proceedings F - Radar and Signal Processing, 140(2), 107–113.
Aliasnamen	Dynamic HMC, NUTS, No-U-Turn Sampler, adaptive HMC	SMC, particle filter, sequential importance resampling, SMC sampler
Verwandt	5	6
Zusammenfassung	Dynamic Hamiltonian Monte Carlo — widely known as the No-U-Turn Sampler (NUTS) — is an adaptive extension of Hamiltonian Monte Carlo that automatically selects the number of leapfrog integration steps during each MCMC transition, removing the need to hand-tune the most sensitive tuning parameter of standard HMC. It is the default sampler in Stan and PyMC and is suitable for continuous, differentiable posterior distributions of moderate to high dimension.	Sequential Monte Carlo (SMC) is a family of simulation-based algorithms that approximate evolving probability distributions by propagating and reweighting a cloud of weighted random draws called particles. It handles nonlinear, non-Gaussian models and streams of data naturally, making it the method of choice for real-time state estimation and posterior approximation over complex distributions.