Statistics

    

Hamiltonian Markov Chain Monte Carlo Using Second Derivatives

Authors: Stephen P. Smith

Hamiltonian Markov Chain Monte Carlo is one of the established methods to conduct a Bayesian simulation. This method uses evaluations of the probability density and its gradient at particular variables. This present paper describes how to incorporate information from second derivatives that relate to a direction set, and describes how to modify the simulation accordingly.

Comments: 10 Pages.

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Submission history

[v1] 2021-02-05 13:05:30

Unique-IP document downloads: 276 times

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