论文标题
非典型的哈密顿蒙特卡洛
Non-Canonical Hamiltonian Monte Carlo
论文作者
论文摘要
哈密顿蒙特卡洛通常基于基本规范符号结构的假设。专为规范结构设计的数值集成器与非经典动力学产生的运动不兼容。这些非典型动力学是由物理和符号几何形状示例的动力进行的,对应于诸如预处理等技术,这些技术通常用于改善算法性能。实际上,最近,证明了一种非经典结构的特殊情况,即磁性汉密尔顿蒙特卡洛,可以提供有利的抽样特性。我们提出了使用非典型符号结构的哈密顿蒙特卡洛的框架。我们的实验结果表明,与具有非规范结构的哈密顿蒙特卡洛相关的采样优势。总结我们的贡献:(i)我们从象征性地面中的基础中开发出非典型的HMC; (ii)我们使用满足详细平衡的隐式集成来构建HMC程序; (iii)我们建议使用{\ em近似}显式方法加速采样; (iv)我们研究了两个新型的,随机生成的非典型结构:磁动量和耦合磁体结构,具有隐式和显式整合。
Hamiltonian Monte Carlo is typically based on the assumption of an underlying canonical symplectic structure. Numerical integrators designed for the canonical structure are incompatible with motion generated by non-canonical dynamics. These non-canonical dynamics, motivated by examples in physics and symplectic geometry, correspond to techniques such as preconditioning which are routinely used to improve algorithmic performance. Indeed, recently, a special case of non-canonical structure, magnetic Hamiltonian Monte Carlo, was demonstrated to provide advantageous sampling properties. We present a framework for Hamiltonian Monte Carlo using non-canonical symplectic structures. Our experimental results demonstrate sampling advantages associated to Hamiltonian Monte Carlo with non-canonical structure. To summarize our contributions: (i) we develop non-canonical HMC from foundations in symplectic geomtry; (ii) we construct an HMC procedure using implicit integration that satisfies the detailed balance; (iii) we propose to accelerate the sampling using an {\em approximate} explicit methodology; (iv) we study two novel, randomly-generated non-canonical structures: magnetic momentum and the coupled magnet structure, with implicit and explicit integration.