Does Hamiltonian Monte Carlo mix faster than a random walk on multimodal densities?

Oren Mangoubi Natesh S. Pillai Aaron Smith

Published in: CoRR (2018)

Keyphrases

random walk
monte carlo
markov chain
monte carlo simulation
importance sampling
confidence intervals

transition probabilities
monte carlo methods
state space
directed graph
markovian decision
markov random walk

monte carlo tree search
flow graph
adaptive sampling
point processes
particle filter
probability density function

variance reduction
matrix inversion
constraint satisfaction
multi db
supervised learning