Reflection, Refraction, and Hamiltonian Monte Carlo
Afshar, Hadi Mohasel; Domke, Justin
Description
Hamiltonian Monte Carlo (HMC) is a successful approach for sampling from continuous densities. However, it has difficulty simulating Hamiltonian dynamics with non-smooth functions, leading to poor performance. This paper is motivated by the behavior of Hamiltonian dynamics in physical systems like optics. We introduce a modification of the Leapfrog discretization of Hamiltonian dynamics on piecewise continuous energies, where intersections of the trajectory with discontinuities are detected,...[Show more]
Collections | ANU Research Publications |
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Date published: | 2015 |
Type: | Conference paper |
URI: | http://hdl.handle.net/1885/103828 |
Source: | Reflection, Refraction and Hamiltonian Monte Carlo |
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01_Afshar_Reflection%2C_Refraction%2C_and_2015.pdf | 578.45 kB | Adobe PDF | Request a copy |
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