Towards Unifying Hamiltonian Monte Carlo and Slice Sampling

NeurIPS 2016 Yizhe ZhangXiangyu WangChangyou ChenRicardo HenaoKai FanLawrence Carin

We unify slice sampling and Hamiltonian Monte Carlo (HMC) sampling, demonstrating their connection via the Hamiltonian-Jacobi equation from Hamiltonian mechanics. This insight enables extension of HMC and slice sampling to a broader family of samplers, called Monomial Gamma Samplers (MGS)... (read more)

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