Zusammenfassung
We give numerical evidence that the standard leapfrog algorithm may not be
the best integrator to use within the Hamiltonian Monte Carlo (HMC) method and
its variants. When the dimensionality of the target distribution is high, the
number of accepted proposals obtained with a given computational effort may be
multiplied by a factor of three or more by switching to alternative integrators
very similar to leapfrog. Such integrators have appeared in the numerical
analysis and molecular dynamics literature rather than in the statistics
literature. In addition, we provide some theoretical results on the acceptance
rate of HMC.
Nutzer