Publications [#338683] of Lawrence Carin

Papers Published

1. Zhang, Y; Wang, X; Chen, C; Henao, R; Fan, K; Carin, L, Towards unifying hamiltonian Monte Carlo and Slice sampling, Advances in Neural Information Processing Systems (January, 2016), pp. 1749-1757
   (last updated on 2024/12/31)

   Abstract:
   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). We provide a theoretical analysis of the mixing performance of such samplers, proving that in the limit of a single parameter, the MGS draws decorrelated samples from the desired target distribution. We further show that as this parameter tends toward this limit, performance gains are achieved at a cost of increasing numerical difficulty and some practical convergence issues. Our theoretical results are validated with synthetic data and real-world applications.