A Markov Jump Process for More Efficient Hamiltonian Monte Carlo — mentioned by kgwgk

Sat, 27 Jun 2020 21:13:32 GMT

Btw, I looked at https://arxiv.org/pdf/1509.03808.pdf and I don’t understand this paragraph at the end of the first page: “To simulate the system, waiting times w_kj are generated for all candidate states k, and the shortest waiting time i = argmin_k w_kj is chosen. We call this shortest waiting time the holding time. A transition is then performed to state i after a delay of length w_ij.” Say there are three states A, B, C and the transition rate to C from A or B is low. Wouldn’t your “simulation” jump endlessly between A and B without ever (or never again) visiting C? I may be missing…

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A Markov Jump Process for More Efficient Hamiltonian Monte Carlo · HackerPapers discussions

A Markov Jump Process for More Efficient Hamiltonian Monte Carlo — mentioned by kgwgk