Sampling from a Gaussian distribution conditioned on the level set of a piecewise affine, continuous function
Computation
2023-03-24 v2
Abstract
We consider how to use Hamiltonian Monte Carlo to sample from a distribution whose log-density is piecewise quadratic, conditioned on the sample lying on the level set of a piecewise affine, continuous function.
Keywords
Cite
@article{arxiv.2303.12185,
title = {Sampling from a Gaussian distribution conditioned on the level set of a piecewise affine, continuous function},
author = {Jesse Windle},
journal= {arXiv preprint arXiv:2303.12185},
year = {2023}
}