Bouncy Hybrid Sampler as a Unifying Device (1802.04366v2)

Abstract: This work introduces a class of rejection-free Markov chain Monte Carlo (MCMC) samplers, named the Bouncy Hybrid Sampler, which unifies several existing methods from the literature. Examples include the Bouncy Particle Sampler of Peters and de With (2012), Bouchard-Cote et al. (2015) and the Hamiltonian MCMC. Following the introduced general framework, we derive a new sampler called the Quadratic Bouncy Hybrid Sampler. We apply this novel sampler to the problem of sampling from a truncated Gaussian distribution.