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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]

CollectionsANU Research Publications
Date published: 2015
Type: Conference paper
URI: http://hdl.handle.net/1885/103828
Source: Reflection, Refraction and Hamiltonian Monte Carlo

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