Comparer des méthodes

	Chaîne de Markov Monte Carlo Robuste	Monte Carlo Hamiltonien
Domaine	Bayésien	Bayésien
Famille	Bayesian methods	Bayesian methods
Année d'origine	2000s–2010s	1987
Auteur d'origine	Roberts, Rosenthal and colleagues; extended by Atchade, Barp, Girolami and others	—
Type	Bayesian computational sampling	Gradient-based Markov chain Monte Carlo sampler
Source fondatrice	Roberts, G. O. & Rosenthal, J. S. (2004). General state space Markov chains and MCMC algorithms. Probability Surveys, 1, 20–71.	Duane, S., Kennedy, A. D., Pendleton, B. J., & Roweth, D. (1987). Hybrid Monte Carlo. Physics Letters B, 195(2), 216–222.
Alias	robust MCMC, outlier-robust MCMC, robust posterior sampling, misspecification-robust MCMC	HMC, Hybrid Monte Carlo, NUTS, No-U-Turn Sampler
Apparentées	5	3
Résumé	Robust MCMC combines Markov chain Monte Carlo sampling with robustness techniques to produce reliable posterior inference when data contain outliers, when the assumed model is misspecified, or when the target distribution has heavy tails that cause standard samplers to mix poorly or yield distorted estimates.	Hamiltonian Monte Carlo (HMC) is a gradient-based Markov chain Monte Carlo algorithm that uses the geometry of the log-posterior surface to make large, informed jumps through parameter space instead of the small random steps of classical MCMC. Originally introduced for lattice field theory by Duane, Kennedy, Pendleton, and Roweth (1987) under the name Hybrid Monte Carlo, and brought into mainstream statistics by Radford Neal's authoritative 2011 chapter, HMC is today the default sampler in Stan and PyMC and is widely regarded as the state-of-the-art engine for Bayesian posterior inference in high-dimensional models.