Discontinuous Hamiltonian Monte Carlo for discrete parameters and discontinuous likelihoods

@article{Nishimura2017DiscontinuousHM,
  title={Discontinuous Hamiltonian Monte Carlo for discrete parameters and discontinuous likelihoods},
  author={A. Nishimura and D. Dunson and J. Lu},
  journal={arXiv: Computation},
  year={2017}
}
  • A. Nishimura, D. Dunson, J. Lu
  • Published 2017
  • Mathematics
  • arXiv: Computation
  • Hamiltonian Monte Carlo has emerged as a standard tool for posterior computation. In this article, we present an extension that can efficiently explore target distributions with discontinuous densities. Our extension in particular enables efficient sampling from ordinal parameters though embedding of probability mass functions into continuous spaces. We motivate our approach through a theory of discontinuous Hamiltonian dynamics and develop a corresponding numerical solver. The proposed solver… CONTINUE READING

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