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TuringLang / AdvancedHMC.jl

Robust, modular and efficient implementation of advanced Hamiltonian Monte Carlo algorithms
https://turinglang.org/AdvancedHMC.jl/
MIT License
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Discontinuous Hamiltonian Monte Carlo for discrete parameters #209

Open scheidan opened 4 years ago

scheidan commented 4 years ago

Nishimura et all (2020) propose an HMC integrator that should work well discontinous likelihoods and hence also for discrete parameters. I was wondering if this could be added to AdvancedHMC as it has a very modular structure.

Reference

Nishimura, A., Dunson, D.B., Lu, J., 2020. Discontinuous Hamiltonian Monte Carlo for discrete parameters and discontinuous likelihoods. Biometrika 107, 365–380. https://doi.org/10.1093/biomet/asz083

xukai92 commented 4 years ago

Thanks for the pointer. There is already an issue for this work. I plan to take a closer look on a few newer HMC variants and implement them later this month.

UPDATE: I closed the old issue because this one points to the published version of the paper. Let's continue the discussion here.