# Roll-back Hamiltonian Monte Carlo

@article{Yi2017RollbackHM, title={Roll-back Hamiltonian Monte Carlo}, author={Kexin Yi and Finale Doshi-Velez}, journal={arXiv: Machine Learning}, year={2017} }

We propose a new framework for Hamiltonian Monte Carlo (HMC) on truncated probability distributions with smooth underlying density functions. Traditional HMC requires computing the gradient of potential function associated with the target distribution, and therefore does not perform its full power on truncated distributions due to lack of continuity and differentiability. In our framework, we introduce a sharp sigmoid factor in the density function to approximate the probability drop at the…

## 7 Citations

Modified Hamiltonian Monte Carlo for Bayesian inference

- Computer ScienceStat. Comput.
- 2020

It is shown that performance of HMC can be significantly improved by incorporating importance sampling and an irreversible part of the dynamics into a chain, and is called Mix & Match Hamiltonian Monte Carlo (MMHMC).

Truncated Log-concave Sampling with Reflective Hamiltonian Monte Carlo

- Computer ScienceArXiv
- 2021

We introduce Reflective Hamiltonian Monte Carlo (ReHMC), an HMC-based algorithm, to sample from a log-concave distribution restricted to a convex polytope. We prove that, starting from a warm start,…

On Using Hamiltonian Monte Carlo Sampling for Reinforcement Learning Problems in High-dimension

- Computer Science
- 2020

A framework, called Hamiltonian Q -Learning, is introduced that demonstrates, both theoretically and empirically, that Q values can be learned from a dataset generated by HMC samples of actions, rewards, and state transitions, and broadens the scope of RL algorithms for real-world applications.

Hamiltonian Q-Learning: Leveraging Importance-sampling for Data Efficient RL

- Computer ScienceArXiv
- 2020

Hamiltonian Q-Learning is introduced, a data efficient modification of the Q-learning approach, which adopts an importance-sampling based technique for computing the Q function and exploits the latent low-rank structure of the dynamic system.

PoRB-Nets: Poisson Process Radial Basis Function Networks

- Computer ScienceUAI
- 2020

A novel prior over radial basis function networks (RBFNs) is presented that allows for independent specification of functional amplitude variance and lengthscale (i.e., smoothness), where the inverse lengthscale corresponds to the concentration of radial basis functions.

LF-PPL: A Low-Level First Order Probabilistic Programming Language for Non-Differentiable Models

- Computer ScienceAISTATS
- 2019

A new Low-level, First-order Probabilistic Programming Language~ (LF-PPL) suited for models containing a mix of continuous, discrete, and/or piecewise-continuous variables is developed, backed up by a mathematical formalism that ensures that any model expressed in this language has a density with measure zero discontinuities to maintain the validity of the inference engine.

Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations

- EconomicsRisks
- 2020

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth…

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