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Horowitz-Langevin MCMC #1137

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DavAug opened this issue May 15, 2020 · 1 comment · May be fixed by #1138
Open

Horowitz-Langevin MCMC #1137

DavAug opened this issue May 15, 2020 · 1 comment · May be fixed by #1138
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@DavAug
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DavAug commented May 15, 2020

Horowitz-Langevin MCMC is an extension of MALA (or HMC with only one leapfrog step) that changes the rules of updating the momentum. By preserving the momentum to some degree, Horowitz-Langevin MCMC tries to overcome the random walk behavior of the Langevin MCMC in regions where the posterior falls off quickly in most directions. By preserving the momentum of accepted proposals to some degree, the Horowitz-Langevin MCMC explores the high probability regions more efficiently.

See
[1] Horowitz, A. M. (1991) “A generalized guided Monte Carlo algorithm”, Physics Letters B, vol. 268, pp. 247-252.
[2] https://arxiv.org/abs/2001.11950v1

@DavAug DavAug self-assigned this May 15, 2020
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DavAug commented May 15, 2020

See PR #1138

@DavAug DavAug linked a pull request May 18, 2020 that will close this issue
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