Geodesic Monte Carlo on Embedded Manifolds

@article{Byrne2013GeodesicMC,
  title={Geodesic Monte Carlo on Embedded Manifolds},
  author={Simon Byrne and Mark A. Girolami},
  journal={Scandinavian Journal of Statistics, Theory and Applications},
  year={2013},
  volume={40},
  pages={825 - 845}
}
  • Simon ByrneM. Girolami
  • Published 25 January 2013
  • Mathematics
  • Scandinavian Journal of Statistics, Theory and Applications
Markov chain Monte Carlo methods explicitly defined on the manifold of probability distributions have recently been established. These methods are constructed from diffusions across the manifold and the solution of the equations describing geodesic flows in the Hamilton–Jacobi representation. This paper takes the differential geometric basis of Markov chain Monte Carlo further by considering methods to simulate from probability distributions that themselves are defined on a manifold, with… 
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