Laplacian Hamiltonian Monte Carlo

Conference Paper

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.

Full Text

Duke Authors

Cited Authors

  • Zhang, Y; Chen, C; Henao, R; Carin, L

Published Date

  • January 1, 2016

Published In

Volume / Issue

  • 9851 LNAI /

Start / End Page

  • 98 - 114

Electronic International Standard Serial Number (EISSN)

  • 1611-3349

International Standard Serial Number (ISSN)

  • 0302-9743

International Standard Book Number 13 (ISBN-13)

  • 9783319461274

Digital Object Identifier (DOI)

  • 10.1007/978-3-319-46128-1_7

Citation Source

  • Scopus