Closed rhaps0dy closed 3 years ago
In partial momentum refreshment, we add a Gaussian random variable to the momentum. From Neal's 2012 Handbook, eq. 5.19 ( https://arxiv.org/pdf/1206.1901.pdf#subsection.1.5.3 )
r' = α⋅r + sqrt(1-α²)⋅G
where r is the momentum and G is a Gaussian RV.
The expression in AdvancedHMC is missing the sqrt: https://github.com/TuringLang/AdvancedHMC.jl/blob/master/src/hamiltonian.jl#L183
sqrt
nice catch - thanks @rhaps0dy!
yebai
commented
3 years ago yebai
commented
3 years ago
In partial momentum refreshment, we add a Gaussian random variable to the momentum. From Neal's 2012 Handbook, eq. 5.19 ( https://arxiv.org/pdf/1206.1901.pdf#subsection.1.5.3 )
r' = α⋅r + sqrt(1-α²)⋅G
where r is the momentum and G is a Gaussian RV.
The expression in AdvancedHMC is missing the
sqrt: https://github.com/TuringLang/AdvancedHMC.jl/blob/master/src/hamiltonian.jl#L183