  We propose a new sampling method, the thermostat-assisted
continuously-tempered Hamiltonian Monte Carlo, for Bayesian learning on large
datasets and multimodal distributions. It simulates the Nos\'e-Hoover dynamics
of a continuously-tempered Hamiltonian system built on the distribution of
interest. A significant advantage of this method is that it is not only able to
efficiently draw representative i.i.d. samples when the distribution contains
multiple isolated modes, but capable of adaptively neutralising the noise
arising from mini-batches and maintaining accurate sampling. While the
properties of this method have been studied using synthetic distributions,
experiments on three real datasets also demonstrated the gain of performance
over several strong baselines with various types of neural networks plunged in.
