Department of Computing Science, University of Glasgow, UK
Wednesday 5 May 2010
Seminar Room B10 (Basement)
Alexandra House, 17 Queen Square, London, WC1N 3AR
Riemann Manifold Langevin and Hamiltonian Monte Carlo
This talk presents Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling methods defined on the Riemann manifold to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The methods provide fully automated adaptation mechanisms that circumvent the costly pilot runs required to tune proposal densities for Metropolis- Hastings or indeed Hamiltonian Monte Carlo and Metropolis Adjusted Langevin Algorithms. This allows for highly efficient sampling even in very high dimensions where different scalings may be required for the transient and stationary phases of the Markov chain. The proposed methodology exploits the Riemannian geometry of the parameter space of statistical models and thus automatically adapts to the local structure when simulating paths across this manifold providing highly efficient convergence and exploration of the target density. The performance of these Riemannian Manifold Monte Carlo methods is rigorously assessed by performing inference on logistic regression models, log-Gaussian Cox point processes, stochastic volatility models, and Bayesian estimation of dynamical systems described by nonlinear differential equations. Substantial improvements in the time normalised Effective Sample Size are reported when compared to alternative sampling approaches. Matlab code at http: //www.dcs.gla.ac.uk/inference/rmhmc allows replication of all results reported.