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Bouncy particle sampler #4

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Bouncy particle sampler #4

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@mschauer mschauer commented Aug 26, 2022

Hi Darren:

If you like, something not so standard: sampling the posterior in the logistic regression with a bouncy particle sampler using our package ZigZagBoomerang.jl (please excuse I am using that programming language...). This is a nonreversible sampler with a continuous (piecewise linear) trajectory, so the trace is really a line and not a sequence of points. This is maybe most interesting because from here it is only one step to the case of a sparse problem (using a spike and slab prior as in https://arxiv.org/abs/2103.08478).

Here I am just using the package, but perhaps also a more elementary version which illustrates how the algorithm can be implemented would be worthwhile, which then also can be ported.

Screen Shot 2022-08-26 at 12 51 35

The figure shows the beginning of the continuous sampler trace in β₁-β₂-plane.

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