Exact Hamiltonian Monte Carlo for Truncated Multivariate Gaussians

@article{Pakman2012ExactHM,
  title={Exact Hamiltonian Monte Carlo for Truncated Multivariate Gaussians},
  author={Ari Pakman and Liam Paninski},
  journal={Journal of Computational and Graphical Statistics},
  year={2012},
  volume={23},
  pages={518 - 542}
}
  • Ari Pakman, Liam Paninski
  • Published 2012
  • Mathematics
  • Journal of Computational and Graphical Statistics
  • We present a Hamiltonian Monte Carlo algorithm to sample from multivariate Gaussian distributions in which the target space is constrained by linear and quadratic inequalities or products thereof. The Hamiltonian equations of motion can be integrated exactly and there are no parameters to tune. The algorithm mixes faster and is more efficient than Gibbs sampling. The runtime depends on the number and shape of the constraints but the algorithm is highly parallelizable. In many cases, we can… CONTINUE READING

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