Robust Monte Carlo Sampling using Riemannian Nosé-Poincaré Hamiltonian Dynamics

Anirban Roychowdhury, Brian Kulis, Srinivasan Parthasarathy

Abstract: We present a Monte Carlo sampler using a modified Nosé-Poincaré Hamiltonian along with Riemannian preconditioning. Hamiltonian Monte Carlo samplers allow better exploration of the state space as op...