Riemann manifold Langevin and Hamiltonian Monte Carlo methods

  title={Riemann manifold Langevin and Hamiltonian Monte Carlo methods},
  author={Mark A. Girolami and Ben Calderhead},
  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  • M. Girolami, B. Calderhead
  • Published 1 March 2011
  • Computer Science
  • Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Summary.  The paper proposes Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling methods defined on the Riemann manifold to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The methods provide fully automated adaptation mechanisms that circumvent the costly pilot runs that are required to tune proposal densities for Metropolis–Hastings or indeed Hamiltonian Monte Carlo and… 
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