preprintarXiv (Cornell University)Jan 10, 2017GREEN OA

A Conceptual Introduction to Hamiltonian Monte Carlo

MBMichael Betancourt
Indexed inarxivdatacite

Abstract

Hamiltonian Monte Carlo has proven a remarkable empirical success, but only recently have we begun to develop a rigorous understanding of why it performs so well on difficult problems and how it is best applied in practice. Unfortunately, that understanding is confined within the mathematics of differential geometry which has limited its dissemination, especially to the applied communities for which it is particularly important. In this review I provide a comprehensive conceptual account of these theoretical foundations, focusing on developing a principled intuition behind the method and its optimal implementations rather of any exhaustive rigor. Whether a practitioner or a statistician, the dedicated reader…

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Topics & keywords

Topics
Keywords
  • GRASP
  • Monte Carlo method
  • Intuition
  • Computer science
  • Management science
  • Hamiltonian (control theory)
  • Statistician
  • Implementation
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