Quantum-Inspired Magnetic Hamiltonian Monte Carlo

PLoS One. 2021 Oct 5;16(10):e0258277. doi: 10.1371/journal.pone.0258277. eCollection 2021.

Abstract

Hamiltonian Monte Carlo (HMC) is a Markov Chain Monte Carlo algorithm that is able to generate distant proposals via the use of Hamiltonian dynamics, which are able to incorporate first-order gradient information about the target posterior. This has driven its rise in popularity in the machine learning community in recent times. It has been shown that making use of the energy-time uncertainty relation from quantum mechanics, one can devise an extension to HMC by allowing the mass matrix to be random with a probability distribution instead of a fixed mass. Furthermore, Magnetic Hamiltonian Monte Carlo (MHMC) has been recently proposed as an extension to HMC and adds a magnetic field to HMC which results in non-canonical dynamics associated with the movement of a particle under a magnetic field. In this work, we utilise the non-canonical dynamics of MHMC while allowing the mass matrix to be random to create the Quantum-Inspired Magnetic Hamiltonian Monte Carlo (QIMHMC) algorithm, which is shown to converge to the correct steady state distribution. Empirical results on a broad class of target posterior distributions show that the proposed method produces better sampling performance than HMC, MHMC and HMC with a random mass matrix.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Bayes Theorem
  • Databases as Topic
  • Magnetic Phenomena*
  • Monte Carlo Method*
  • Multivariate Analysis
  • Quantum Theory*
  • Regression Analysis

Grants and funding

Funding for this research was provided by Google PhD Fellowships and the National Research Fund of South Africa. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.