A general non-smooth Hamiltonian Monte Carlo scheme using Bayesian proximity operator calculation.
Lotfi ChaâriJean-Yves TourneretHadj BatatiaPublished in: EUSIPCO (2017)
Keyphrases
- monte carlo
- monte carlo methods
- monte carlo simulation
- importance sampling
- markov chain
- simulation study
- monte carlo method
- particle filter
- conditional density estimation
- stochastic approximation
- monte carlo tree search
- point processes
- adaptive sampling
- matrix inversion
- markovian decision
- machine learning
- game tree search
- kalman filter
- bayesian networks
- variance reduction
- bayesian learning
- optimal strategy
- maximum likelihood
- computational cost