Laplacian Hamiltonian Monte Carlo

Yizhe Zhang, Changyou Chen, Ricardo Henao, Lawrence Carin

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We proposed a Hamiltonian Monte Carlo (HMC) method with Laplace kinetic energy, and demonstrate the connection between slice sampling and proposed HMC method in one-dimensional cases. Based on this connection, one can perform slice sampling using a numerical integrator in an HMC fashion. We provide theoretical analysis on the performance of such sampler in several univariate cases. Furthermore, the proposed approach extends the standard HMC by enabling sampling from discrete distributions. We compared our method with standard HMC on both synthetic and real data, and discuss its limitations and potential improvements.
Original languageEnglish (US)
Title of host publicationLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
PublisherSpringer Verlagservice@springer.de
Pages98-114
Number of pages17
ISBN (Print)9783319461274
DOIs
StatePublished - Jan 1 2016
Externally publishedYes

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