Hamiltonian Monte Carlo with Energy Conserving Subsampling

Dang, KD; Quiroz, M; Kohn, R; Tran, MN; Villani, M

Dang, KD (reprint author), Univ New South Wales, UNSW Business Sch, Sch Econ, Sydney, NSW, Australia.; Dang, KD (reprint author), ARC Ctr Excellence Math & Stat Frontiers ACEMS, Melbourne, Vic, Australia.

JOURNAL OF MACHINE LEARNING RESEARCH, 2019; 20 ():

Abstract

Hamiltonian Monte Carlo (HMC) samples efficiently from high-dimensional posterior distributions with proposed parameter draws obtained by iterating on......

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