Sampling from a Gaussian distribution conditioned on the level set of a piecewise affine, continuous function

03/21/2023

∙

by   Jesse Windle, et al.

∙

0

∙

share

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.