Yaodong Yang
Thermostat-assisted continuously-tempered Hamiltonian Monte Carlo for Bayesian learning
Rui Luo, Jianhong Wang, Yaodong Yang, Jun WANG, Zhanxing Zhu
Neural Information Processing Systems http://nips.cc/
Thermostat-assisted continuously-tempered Hamiltonian Monte Carlo for Bayesian learning
Rui Luo, Jianhong Wang, Yaodong Yang, Jun WANG, Zhanxing Zhu
We propose a new sampling method, the thermostat-assisted continuously-tempered Hamiltonian Monte Carlo, for Bayesian learning on large datasets and multimodal distributions. It simulates the Nosé-Hoover dynamics of a continuously-tempered Hamiltonian system built on the distribution of interest. A significant advantage of this method is that it is not only able to efficiently draw representative i.i.d.