JM Sanz-Serna

Universidad Carlos III de Madrid

Statistics Seminar

26th March 2021, 3:00 pm – 4:00 pm

The efficiency of the Hamiltonian Monte Carlo method, in all its variants, depends crucially on the integrator used to simulate the Hamiltonian dynamics. The Stormer/Verlet/leapfrog algorithm is currently the integrator of choice but better alternatives exist. In the talk I will discuss the probabilistic issues that play a key role in choosing or designing integrators for HMC sampling. I will also show that, after taking those issues into account, it is possible to reduce the computational cost of HMC by a very substantial factor.

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