Efficient cosmological parameter estimation with Hamiltonian Monte Carlo technique

Abstract

Traditional Markov Chain Monte Carlo methods suffer from low acceptance rate, slow mixing, and low efficiency in high dimensions. Hamiltonian Monte Carlo resolves this issue by avoiding the random walk. Hamiltonian Monte Carlo (HMC) is a Markov Chain Monte Carlo (MCMC) technique built upon the basic principle of Hamiltonian mechanics. Hamiltonian dynamics allows the chain to move along trajectories of constant energy, taking large jumps in the parameter space with relatively inexpensive computations. This new technique improves the acceptance rate by a factor of 4 while reducing the correlations and boosts up the efficiency by almost a factor of $D$ in a $D$-dimensional parameter space. Therefore shorter chains will be needed for a reliable parameter estimation comparing to a traditional MCMC chain yielding the same performance. Besides that, the HMC is well suited for sampling from non-Gaussian and curved distributions which are very hard to sample from using the traditional MCMC methods. The method is very simple to code and can be easily plugged into standard parameter estimation codes such as CosmoMC. In this paper we demonstrate how the HMC can be efficiently used in cosmological parameter estimation. Also we discuss possible ways of getting good estimates of the derivatives of (the log of) posterior which is needed for HMC.