Adaptive Tuning Of Hamiltonian Monte Carlo Within Sequential Monte Carlo

Abstract: Sequential Monte Carlo (SMC) samplers form an attractive alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used to rejuvenate particles. We discuss how to calibrate automatically (using the current particles) Hamiltonian Monte Carlo kernels within SMC. To do so, we build upon the adaptive SMC approach of Fearnhead and Taylor (2013), and we also suggest alternative methods. We illustrate the advantages of using HMC kernels within an SMC sampler via an extensive numerical study.