Stochastic Gradient Hamiltonian Monte Carlo

HMC

• requires full gradient
• how to introduce mini-batch?
  • correct using MH?
    • low acceptance rate or high computational time
  • introduce friction: second-order Langevin dynamics
• naive SGHMC
  • what’s the effect of stochastic var.?
    • entropy increases!
  • introducing friction
  • simular to slides