Contribution to the discussion on Riemann manifold Hamiltonian Monte Carlo methods

Husmeier, D. (2011) Contribution to the discussion on Riemann manifold Hamiltonian Monte Carlo methods. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 73(2), pp. 184-185. (doi:10.1111/j.1467-9868.2010.00765.x)

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Abstract

By combining concepts from physics (Hamiltonian dynamics) with Riemann geometry (metric tensor), the authors have made a highly important contribution to current research on MCMC, which in my opinion will be as seminal as Green (1995). In this brief note, I shall discuss how mixing in the presence of multimodality may be further improved. For illustration, consider the Gaussian mixture

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Husmeier, Professor Dirk
Authors: Husmeier, D.
College/School:College of Science and Engineering > School of Mathematics and Statistics > Statistics
Journal Name:Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Journal Abbr.:J. R. Stat. Soc. Series B. Stat. Methodol.
ISSN:1369-7412
ISSN (Online):1467-9868

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