Generalized Bouncy Particle Sampler
Résumé
As a special example of piecewise deterministic Markov process, bouncy particle sampler is a rejection-free, irreversible Markov chain Monte Carlo algorithm and can draw samples from target distribution efficiently. We generalize bouncy particle sampler in terms of its transition dynamics. In BPS, the transition dynamic at event time is deterministic, but in GBPS, it is random. With the help of this randomness, GBPS can overcome the reducibility problem in BPS without refreshement.