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Feb, 2018
随机方差减少的哈密顿蒙特卡洛方法
Stochastic Variance-Reduced Hamilton Monte Carlo Methods
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Difan Zou, Pan Xu, Quanquan Gu
TL;DR
本文提出了一种快速的随机Hamilton Monte Carlo方法，用于从一个光滑而强烈对数凹的分布中进行采样。通过梯度复杂度来衡量算法的性能，实验结果表明，该算法在采样效率上跑赢了现有的HMC和Stochastic Gradient HMC方法。
Abstract
We propose a fast
stochastic hamilton monte carlo
(HMC) method, for
sampling
from a smooth and strongly
log-concave distribution
. At the c
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