Zigzag Path Connects Two Monte Carlo Samplers: Hamiltonian Counterpart to a Piecewise Deterministic Markov Process
连接两类蒙特卡洛采样器的折线路径:分段确定性马尔可夫过程的哈密顿对应
Zigzag and other piecewise deterministic Markov process samplers have attracted significant interest for their non-reversibility and other appealing properties for Bayesian posterior computation. Hamiltonian Monte Carlo is another state-of-the-art sampler, exploiting fictitious momentum to guide Markov chains through complex target distributions. We establish an important connection between the zigzag sampler and a variant of Hamiltonian Monte Carlo based on…