General and Efficient Bayesian Computation through Hamiltonian Monte Carlo Extensions

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Hamiltonian Monte Carlo (HMC) is a state-of-the-art sampling algorithm for Bayesian computation. Popular probabilistic programming languages Stan and PyMC rely on HMC’s generality and efficiency to provide automatic Bayesian inference platforms for practitioners. Despite its wide-spread use and numerous success stories, HMC has several well known pitfalls. This thesis presents extensions of HMC that overcome its two most prominent weaknesses: inability to handle discrete parameters and slow mixing on multi-modal target distributions.

Discontinuous HMC (DHMC) presented in Chapter 2 extends HMC to discontinuous target distributions – and hence to discrete parameter distributions through embedding them into continuous spaces — using an idea of event-driven Monte Carlo from the computational physics literature. DHMC is guaranteed to outperform a Metropolis-within-Gibbs algorithm since, as it turns out, the two algorithms coincide under a specific (and sub-optimal) implementation of DHMC. The theoretical justification of DHMC extends an existing theory of non-smooth Hamiltonian mechanics and of measure-valued differential inclusions.

Geometrically tempered HMC (GTHMC) presented in Chapter 3 improves HMC’s performance on multi-modal target distributions. The efficiency improvement is achieved through differential geometric techniques, relating a target distribution to

another distribution with less severe multi-modality. We establish a geometric theory behind Riemannian manifold HMC to motivate our geometric tempering methods. We then develop an explicit variable stepsize reversible integrator for simulating

Hamiltonian dynamics to overcome a stability issue of the usual Stormer-Verlet integrator. The integrator is of independent interest, being the first of its kind designed specifically for HMC variants.

In addition to the two extensions described above, Chapter 4 describes a variable trajectory length algorithm that generalizes the acceptance and rejection procedure of HMC — and in fact of any reversible dynamics based samplers — to allow for more flexible choices of trajectory lengths. The algorithm in particular enables an effective application of a variable stepsize integrator to HMC extensions, including GTHMC. The algorithm is widely applicable and provides a recipe for constructing valid dynamics based samplers beyond the known HMC variants. Chapter 5 concludes the thesis with a simple and practical algorithm to improve computational efficiencies of HMC and related algorithms over their traditional implementations.






Nishimura, Akihiko (2017). General and Efficient Bayesian Computation through Hamiltonian Monte Carlo Extensions. Dissertation, Duke University. Retrieved from


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