Inference with Hamiltonian Sequential Monte Carlo Simulators

Remi Daviet

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arXiv · 1812.07978

Inference with Hamiltonian Sequential Monte Carlo Simulators

Remi Daviet

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Abstract

The paper proposes a new Monte-Carlo simulator combining the advantages of Sequential Monte Carlo simulators and Hamiltonian Monte Carlo simulators. The result is a method that is robust to multimodality and complex shapes to use for inference in presence of difficult likelihoods or target functions. Several examples are provided.

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Remi Daviet. 2018-12-19. Inference with Hamiltonian Sequential Monte Carlo Simulators. https://arxiv.org/abs/1812.07978

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