Relativistic Monte Carlo

14 Sep 2016Xiaoyu LuValerio PerroneLeonard HasencleverYee Whye TehSebastian J. Vollmer

Hamiltonian Monte Carlo (HMC) is a popular Markov chain Monte Carlo (MCMC) algorithm that generates proposals for a Metropolis-Hastings algorithm by simulating the dynamics of a Hamiltonian system. However, HMC is sensitive to large time discretizations and performs poorly if there is a mismatch between the spatial geometry of the target distribution and the scales of the momentum distribution... (read more)

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