Publication de 6 numéros par an
ISSN Imprimer: 2152-5080
ISSN En ligne: 2152-5099
Indexed in
HAMILTONIAN MONTE CARLO IN INVERSE PROBLEMS. ILL-CONDITIONING AND MULTIMODALITY
RÉSUMÉ
The Hamiltonian Monte Carlo (HMC) method allows sampling from continuous densities. Favorable scaling with dimension has led to wide adoption of HMC by the statistics community. Modern autodifferentiating software should allow more widespread usage in Bayesian inverse problems. This paper analyzes two major difficulties encountered using HMC for inverse problems: poor conditioning and multimodality. Novel results on preconditioning and replica exchange Monte Carlo parameter selection are presented in the context of spectroscopy. Recommendations are given for the number of integration steps as well as step size, preconditioner type and fitting, annealing form, and schedule. These recommendations are analyzed rigorously in the Gaussian case and shown to generalize in a fusion plasma reconstruction.
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