A Conceptual Introduction to Hamiltonian Monte Carlo
@article{Betancourt2017ACI,
title={A Conceptual Introduction to Hamiltonian Monte Carlo},
author={Michael Betancourt},
journal={arXiv: Methodology},
year={2017}
}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…
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678 Citations
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