The Geometry of Hamiltonian Monte Carlo

Details The Geometry of Hamiltonian Monte Carlo The Geometry of Hamiltonian Monte Carlo

2011-12-18

arxiv.org/abs/1112.4118v1

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9 pages, 1 table

Scientific paper

With its systematic exploration of probability distributions, Hamiltonian Monte Carlo is a potent Markov Chain Monte Carlo technique; it is an approach, however, ultimately contingent on the choice of a suitable Hamiltonian function. By examining both the symplectic geometry underlying Hamiltonian dynamics and the requirements of Markov Chain Monte Carlo, we construct the general form of admissible Hamiltonians and propose a particular choice with potential application in Bayesian inference.

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