The Geometry of Hamiltonian Monte Carlo

Abstract

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.

9 pages, 1 table

References in corpus (1)

• MCMC using Hamiltonian dynamics

Cited by in corpus (1)

• AstroPhot: Fitting Everything Everywhere All at Once in Astronomical Images