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| Hamiltonian Monte Carlo Multilevel× | Hierarchical Hamiltonian Monte Carlo× | |
|---|---|---|
| Bidang | Bayesian | Bayesian |
| Keluarga | Bayesian methods | Bayesian methods |
| Tahun asal≠ | 2010s | 2015 |
| Pengasas≠ | Beskos, Jasra, Law, Tempone, Zhou (multilevel MCMC); Neal (HMC component) | Betancourt & Girolami |
| Jenis≠ | Bayesian computational sampler | Bayesian sampling algorithm |
| Sumber perintis≠ | Beskos, A., Jasra, A., Law, K., Tempone, R., & Zhou, Y. (2017). Multilevel sequential Monte Carlo samplers. Stochastic Processes and their Applications, 127(5), 1417–1440. DOI ↗ | Betancourt, M. & Girolami, M. (2015). Hamiltonian Monte Carlo for hierarchical models. In S. K. Upadhyay, U. Singh, D. K. Dey & A. Loganathan (Eds.), Current Trends in Bayesian Methodology with Applications (pp. 79-101). CRC Press. link ↗ |
| Alias | Multilevel HMC, MLHMC, multilevel HMC sampler, multilevel leapfrog MCMC | Hierarchical HMC, HMC for hierarchical models, HMC with reparameterization, NUTS for hierarchical Bayesian models |
| Berkaitan | 5 | 5 |
| Ringkasan≠ | Multilevel Hamiltonian Monte Carlo (Multilevel HMC) combines the variance-reduction strategy of multilevel Monte Carlo with the efficient gradient-driven exploration of Hamiltonian Monte Carlo. By running coupled HMC chains at increasing levels of model fidelity or discretisation, it achieves accurate posterior estimates at a computational cost substantially lower than a single fine-level HMC chain. | Hierarchical Hamiltonian Monte Carlo (Hierarchical HMC) applies Hamiltonian Monte Carlo sampling to Bayesian hierarchical models, addressing the severe geometric challenges those models pose. By combining non-centered parameterizations with HMC's gradient-driven proposals, it achieves efficient posterior exploration of the multi-level funnel-shaped geometries that standard MCMC methods struggle with. |
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