Mercoledì 3 maggio un nuovo seminario della serie "Seminari generali dell'IAC 2023". 

Ospite è Cristiano Tamborrino, Ricercatore presso la presso il Dipartimento di informatica dell'Università di Bari.

Titolo del seminario: Adaptive Parameters tuning based on energy-preserving splitting integration for Hamiltonian Monte Carlo Method


Splitting schemes are numerical integrators for Hamiltonian problems that may advantageously replace the Stormer Verlet method within Hamiltonian Monte Carlo (HMC)  methodology. However, HMC performance is very sensitive to the step size parameter; in this paper we propose a new method in the one-parameter family of second-order of splitting procedures that uses a well-fitting parameter that nullifies the expectation of the energy error for univariate and multivariate Gaussian distributions, taken as a problem-guide for more realistic situations; we also provide a new algorithm that through an adaptive choice of the parameter and the step-size ensures high sampling performance of HMC. The effectiveness of the proposed  is firstly tested on some benchmarks examples taken from literature. Then, we conduct experiments by considering as target distribution, the Log-Gaussian Cox process and Bayesian Logistic Regression.

Data inizio