Repelling-Attracting Hamiltonian Monte Carlo

arXiv:2403.04607v1 Announce Type: cross
Abstract: We propose a variant of Hamiltonian Monte Carlo (HMC), called the Repelling-Attracting Hamiltonian Monte Carlo (RAHMC), for sampling from multimodal distributions. The key idea that underpins RAHMC is a departure from the conservative dynamics of Hamiltonian systems, which form the basis of traditional HMC, and turning instead to the dissipative dynamics of conformal Hamiltonian systems. In particular, RAHMC involves two stages: a mode-repelling stage to encourage the sampler to move away from regions of high …

abstract arxiv astro-ph.im dynamics form hamiltonian monte carlo key math.st multimodal sampling stat.co stat.ml stat.th systems the key type