MCMC: Hamiltonian Monte Carlo (a.k.a. Hybrid Monte Carlo)

The following post presents a very good explanation of the intuition of Hamiltonian dynamics and introduction of HMC algorithm.

 

The random-walk behavior of many Markov Chain Monte Carlo (MCMC) algorithms makes Markov chain convergence to a target stationary distribution p(x) inefficient, resulting in slow m…

Source: MCMC: Hamiltonian Monte Carlo (a.k.a. Hybrid Monte Carlo)

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s