A Conceptual Introduction to Hamiltonian Monte Carlo

10 Jan 2017 Michael Betancourt

Hamiltonian Monte Carlo has proven a remarkable empirical success, but only recently have we begun to develop a rigorous under- standing of why it performs so well on difficult problems and how it is best applied in practice. Unfortunately, that understanding is con- fined within the mathematics of differential geometry which has limited its dissemination, especially to the applied communities for which it is particularly important... (read more)

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