Skip to main content
stat
HaRAM: A Hamiltonian Repelling-Attracting Metropolis Algorithm for High Dimensional Multimodality
Add to Calendar 2022-10-21T14:10:00 2022-10-21T15:00:00 UTC HaRAM: A Hamiltonian Repelling-Attracting Metropolis Algorithm for High Dimensional Multimodality 327 Thomas Building, University Park, PA
Start DateFri, Oct 21, 2022
10:10 AM
to
End DateFri, Oct 21, 2022
11:00 AM
Presented By
Siddharth Vishwanath
Event Series: SMAC Talks

Hamiltonian Monte Carlo (HMC) is a state-of-the-art method for sampling from unnormalized, high-dimensional target distributions, and is the cornerstone for most probabilistic programming routines. By formulating the target density as the potential energy of a Hamiltonian system, HMC is able to generate distant proposals from high density regions; however, HMC is known to mix poorly when modes are separated by low-density regions. In this talk we present HaRAM as an extension of HMC geared for multimodal distributions. Notably, HaRAM departs from the "real-world physical analogy” underpinning existing enhancements to HMC, and is based on conformal symplectic dynamics; this perspective leads to several favorable properties. This talk is based on joint work with Hyungsuk Tak.