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 inefficient, resulting in slow m… Source: MCMC: Hamiltonian Monte Carlo (a.k.a. Hybrid Monte Carlo) Advertisements Continue reading MCMC: Hamiltonian Monte Carlo (a.k.a. Hybrid Monte Carlo)