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Hamiltonian Monte Carlo is a popular sampling technique for smooth target densities.
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[author] Bales, BenB., Pourzanjani, AryaA., Vehtari, AkiA. and Petzold, LindaL. (2019). Selecting the Metric in Hamiltonian Monte Carlo. arXiv preprints
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[author] Hoffman, MatthewM., Sountsov, PavelP., Dillon, Joshua VJ. V., Langmore, IanI., Tran, DustinD. and Vasudevan, SrinivasS. (2019). NeuTra-lizing Bad Geometry in Hamiltonian Monte Carlo Using Neural Transport. ArXiv preprints
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[author] Peherstorfer, BenjaminB. and Marzouk, YoussefY. (2019). A transport-based multifidelity preconditioner for Markov chain Monte Carlo. Adv. Comput. Math. 45 2321–2348
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2019
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