Implement supports for sampling momentum with quasi-random sequences.#380
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B1inkFox wants to merge 1 commit intoTuringLang:mainfrom
Open
Implement supports for sampling momentum with quasi-random sequences.#380B1inkFox wants to merge 1 commit intoTuringLang:mainfrom
B1inkFox wants to merge 1 commit intoTuringLang:mainfrom
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Now supports sampling momentum with quasi-monte-carlo sequence (low-discrepancy sequence).
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An additional momentum refreshment struct "QuasiRandomMomentumRefreshment"<:AbstractRefreshment is added, along with its refresh() function and other necessary changes.
Passing this struct to the HMCKernel() will change how momentum is sampled at each iteration. Instead of drawing momentum i.i.d. from the target Gaussian distribution, the momentum will be drawn from a low-discrepancy (quasi-random) sequence whose limiting distribution is the target multi-dimensional Gaussian.
https://en.wikipedia.org/wiki/Low-discrepancy_sequence