Cruising The Simplex: Hamiltonian Monte Carlo and the Dirichlet Distribution

Details Cruising The Simplex: Hamiltonian Monte Carlo and the Dirichlet Distribution Cruising The Simplex: Hamiltonian Monte Carlo and the Dirichlet Distribution

2010-10-17

arxiv.org/abs/1010.3436v3

Physics

Data Analysis, Statistics and Probability

5 pages, 0 figures

Scientific paper

Due to its constrained support, the Dirichlet distribution is uniquely suited to many applications. The constraints that make it powerful, however, can also hinder practical implementations, particularly those utilizing Markov Chain Monte Carlo (MCMC) techniques such as Hamiltonian Monte Carlo. I demonstrate a series of transformations that reshape the canonical Dirichlet distribution into a form much more amenable to MCMC algorithms.

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