A Piecewise Deterministic Markov Process via (r, θ) swaps in hyperspherical coordinates

· Poster · HDI '19

Abstract. Recently, a class of stochastic processes known as piecewise deterministic Markov processes has been used to define continuous-time Markov chain Monte Carlo algorithms with a number of attractive properties, including compatibility with stochastic gradients like those typically found in optimization and variational inference, and high efficiency on certain big data problems. Not many processes in this class that are capable of targeting arbitrary invariant distributions are currently known, and within one subclass all previously known processes utilize linear transition functions. In this work, we derive a process whose transition function is nonlinear through solving its Fokker-Planck equation in hyperspherical coordinates. We explore its behavior on Gaussian targets, as well as a Bayesian logistic regression model with synthetic data. We discuss implications to both the theory of piecewise deterministic Markov processes, and to Bayesian statisticians as well as physicists seeking to use them for simulation-based computation.