Tuesday, September 29, 2015

Mayur Mudigonda: October 15th

Mayur Mudigonda is visiting from the Redwood Center at UC Berkeley. We will meet at 1pm on Thursday, October 15th, in room 502 NWC.

Title: Hamiltonian Monte Carlo Without Detailed Balance

We present a method for performing Hamiltonian Monte Carlo that largely eliminates sample rejection. In situations that would normally lead to rejection, instead a longer trajectory is computed until a new state is reached that can be accepted. This is achieved using Markov chain transitions that satisfy the fixed point equation, but do not satisfy detailed balance. The resulting algorithm significantly suppresses the random walk behavior and wasted function evaluations that are typically the consequence of update rejection. We demonstrate a greater than factor of two improvement in mixing time on three test problems. We release the source code as Python and MATLAB packages.