Hamiltonian Monte Carlo with explicit, reversible, and volume-preserving adaptive step size control.
Michiko OkudoHideyuki SuzukiPublished in: JSIAM Lett. (2017)
Keyphrases
- monte carlo
- step size
- markov chain
- variable step size
- adaptive sampling
- temporal difference
- adaptive filter
- convergence rate
- cost function
- importance sampling
- convergence speed
- monte carlo simulation
- monte carlo methods
- adaptive control
- markovian decision
- gradient method
- blind source separation
- control system
- least mean square
- matrix inversion
- monte carlo tree search
- steepest descent method
- image processing
- machine learning
- markov chain monte carlo
- genetic algorithm
- point processes
- learning algorithm
- similarity measure
- variance reduction
- optimal solution
- control problems
- optimization algorithm