Bibliography#

[stab]

HMC Algorithm Parameters, stan manual. URL: https://mc-stan.org/docs/2_20/reference-manual/hmc-algorithm-parameters.html.

[ASD20]

Abhinav Agrawal, Daniel R Sheldon, and Justin Domke. Advances in black-box vi: normalizing flows, importance weighting, and optimization. Advances in Neural Information Processing Systems, 33:17358–17369, 2020.

[BFFN19]

Jack Baker, Paul Fearnhead, Emily B Fox, and Christopher Nemeth. Control variates for stochastic gradient mcmc. Statistics and Computing, 29:599–615, 2019.

[Bet13]

Michael Betancourt. A general metric for riemannian manifold hamiltonian monte carlo. In Geometric Science of Information: First International Conference, GSI 2013, Paris, France, August 28-30, 2013. Proceedings, 327–334. Springer, 2013.

[Bet17]

Michael Betancourt. A conceptual introduction to hamiltonian monte carlo. arXiv preprint arXiv:1701.02434, 2017.

[BBLG17]

Michael Betancourt, Simon Byrne, Sam Livingstone, and Mark Girolami. The geometric foundations of hamiltonian monte carlo. arXiv preprint arXiv:arXiv:1410.5110, 2017.

[BCSS14]

Sergio Blanes, Fernando Casas, and Jesús Marıa Sanz-Serna. Numerical integrators for the hybrid monte carlo method. SIAM Journal on Scientific Computing, 36(4):A1556–A1580, 2014.

[BRSS18]

Nawaf Bou-Rabee and Jesús Maria Sanz-Serna. Geometric integrators and the hamiltonian monte carlo method. Acta Numerica, 27:113–206, 2018.

[CFG14]

Tianqi Chen, Emily Fox, and Carlos Guestrin. Stochastic gradient hamiltonian monte carlo. In International conference on machine learning, 1683–1691. PMLR, 2014.

[Cou]

Jeremie Coullon. How to add a progress bar to jax scans and loops. URL: https://www.jeremiecoullon.com/2021/01/29/jax_progress_bar/.

[CN22]

Jeremie Coullon and Christopher Nemeth. Sgmcmcjax: a lightweight jax library for stochastic gradient markov chain monte carlo algorithms. Journal of Open Source Software, 7(72):4113, 2022.

[DC20]

Hai-Dang Dau and Nicolas Chopin. Waste-free sequential monte carlo. arXiv preprint arXiv:2011.02328, 2020.

[DLH+22]

Wei Deng, Siqi Liang, Botao Hao, Guang Lin, and Faming Liang. Interacting contour stochastic gradient langevin dynamics. arXiv preprint arXiv:2202.09867, 2022.

[DLL20]

Wei Deng, Guang Lin, and Faming Liang. A contour stochastic gradient langevin dynamics algorithm for simulations of multi-modal distributions. Advances in neural information processing systems, 33:15725–15736, 2020.

[DFB+14]

Nan Ding, Youhan Fang, Ryan Babbush, Changyou Chen, Robert D Skeel, and Hartmut Neven. Bayesian sampling using stochastic gradient thermostats. Advances in neural information processing systems, 2014.

[GCSR95]

Andrew Gelman, John B Carlin, Hal S Stern, and Donald B Rubin. Bayesian data analysis. Chapman and Hall/CRC, 1995.

[GCSR14]

Andrew Gelman, John B Carlin, Hal S Stern, and Donald B Rubin. Bayesian data analysis. Chapman and Hall/CRC, 2014.

[GR92]

Andrew Gelman and Donald B Rubin. Inference from iterative simulation using multiple sequences. Statistical science, pages 457–472, 1992.

[Gey92]

Charles J Geyer. Practical markov chain monte carlo. Statistical science, pages 473–483, 1992.

[Gey11]

Charles J Geyer. Introduction to markov chain monte carlo. Handbook of Markov Chain Monte Carlo, 20116022:45, 2011.

[HG+14]

Matthew D Hoffman, Andrew Gelman, and others. The no-u-turn sampler: adaptively setting path lengths in hamiltonian monte carlo. J. Mach. Learn. Res., 15(1):1593–1623, 2014.

[HS22]

Matthew D Hoffman and Pavel Sountsov. Tuning-free generalized hamiltonian monte carlo. In International Conference on Artificial Intelligence and Statistics, 7799–7813. PMLR, 2022.

[LSL+20]

Junpeng Lao, Christopher Suter, Ian Langmore, Cyril Chimisov, Ashish Saxena, Pavel Sountsov, Dave Moore, Rif A Saurous, Matthew D Hoffman, and Joshua V Dillon. Tfp. mcmc: modern markov chain monte carlo tools built for modern hardware. arXiv preprint arXiv:2002.01184, 2020.

[LPH+17]

Xiaoyu Lu, Valerio Perrone, Leonard Hasenclever, Yee Whye Teh, and Sebastian Vollmer. Relativistic monte carlo. In Artificial Intelligence and Statistics, 1236–1245. PMLR, 2017.

[MCF15]

Yi-An Ma, Tianqi Chen, and Emily Fox. A complete recipe for stochastic gradient mcmc. Advances in neural information processing systems, 2015.

[McL95]

Robert I McLachlan. On the numerical integration of ordinary differential equations by symmetric composition methods. SIAM Journal on Scientific Computing, 16(1):151–168, 1995.

[MAM10]

Iain Murray, Ryan Adams, and David MacKay. Elliptical slice sampling. In Proceedings of the thirteenth international conference on artificial intelligence and statistics, 541–548. JMLR Workshop and Conference Proceedings, 2010.

[Nea20]

Radford M Neal. Non-reversibly updating a uniform [0, 1] value for metropolis accept/reject decisions. arXiv preprint arXiv:2001.11950, 2020.

[NW22]

Kirill Neklyudov and Max Welling. Orbital mcmc. In International Conference on Artificial Intelligence and Statistics, 5790–5814. PMLR, 2022.

[Nes09]

Yurii Nesterov. Primal-dual subgradient methods for convex problems. Mathematical programming, 120(1):221–259, 2009.

[PPJ19]

Du Phan, Neeraj Pradhan, and Martin Jankowiak. Composable effects for flexible and accelerated probabilistic programming in numpyro. arXiv preprint arXiv:1912.11554, 2019.

[RM51]

Herbert Robbins and Sutton Monro. A stochastic approximation method. The annals of mathematical statistics, pages 400–407, 1951.

[RWD17]

Geoffrey Roeder, Yuhuai Wu, and David K Duvenaud. Sticking the landing: simple, lower-variance gradient estimators for variational inference. Advances in Neural Information Processing Systems, 2017.

[Sch10]

Tamar Schlick. Molecular modeling and simulation: an interdisciplinary guide. Volume 2. Springer, 2010.

[TP18]

Michalis K Titsias and Omiros Papaspiliopoulos. Auxiliary gradient-based sampling algorithms. Journal of the Royal Statistical Society. Series B (Statistical Methodology), 80(4):749–767, 2018.

[Wan22]

Guanyang Wang. Exact convergence analysis of the independent metropolis-hastings algorithms. Bernoulli, 28(3):2012–2033, 2022.

[ZCGV22]

Lu Zhang, Bob Carpenter, Andrew Gelman, and Aki Vehtari. Pathfinder: parallel quasi-newton variational inference. Journal of Machine Learning Research, 23(306):1–49, 2022.