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Discussion of "Riemann manifold Langevin and Hamiltonian Monte Carlo methods'' by M. Girolami and B. Calderhead

Bornn, L; Cornebise, J; Peters, GW; (2010) Discussion of "Riemann manifold Langevin and Hamiltonian Monte Carlo methods'' by M. Girolami and B. Calderhead.

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Abstract

This technical report is the union of two contributions to the discussion of the Read Paper "Riemann manifold Langevin and Hamiltonian Monte Carlo methods" by B. Calderhead and M. Girolami, presented in front of the Royal Statistical Society on October 13th 2010 and to appear in the Journal of the Royal Statistical Society Series B. The first comment establishes a parallel and possible interactions with Adaptive Monte Carlo methods. The second comment exposes a detailed study of Riemannian Manifold Hamiltonian Monte Carlo (RMHMC) for a weakly identifiable model presenting a strong ridge in its geometry.

Type: Article
Title: Discussion of "Riemann manifold Langevin and Hamiltonian Monte Carlo methods'' by M. Girolami and B. Calderhead
Additional information: To appear in Journal of the Royal Statitistical Society Series B, in the discussion of the read paper by Calderhead and Girolami 2010
Keywords: stat.CO, stat.CO, stat.ME, stat.ML, 62F15 (Primary) 62-04 (Secondary)
UCL classification: UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/1318883
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