Corpus ID: 5813204

A Level-set Hit-and-run Sampler for Quasi-Concave Distributions

@inproceedings{Jensen2014ALH,
  title={A Level-set Hit-and-run Sampler for Quasi-Concave Distributions},
  author={Shane T. Jensen and D. Foster},
  booktitle={AISTATS},
  year={2014}
}

Shane T. Jensen, D. Foster

Published in AISTATS 2014

Mathematics, Computer Science

We develop a new sampling strategy that uses the hit-and-run algorithm within level sets of a target density. Our method can be applied to any quasi-concave density, which covers a broad class of models. Standard sampling methods often perform poorly on densities that are high-dimensional or multi-modal. Our level set sampler performs well in high-dimensional settings, which we illustrate on a spike-and-slab mixture model. We also extend our method to exponentially-tilted quasi-concave… CONTINUE READING

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