Connecting the Dots: Towards Continuous Time Hamiltonian Monte Carlo

4 May 2020Tore Selland Kleppe

Continuous time Hamiltonian Monte Carlo is introduced, as a powerful alternative to Markov chain Monte Carlo methods for continuous target distributions. The method is constructed in two steps: First Hamiltonian dynamics are chosen as the deterministic dynamics in a continuous time piecewise deterministic Markov process... (read more)

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