Hamiltonian Monte Carlo explained by Alex Rogozhnikov

MCMC (Markov chain Monte Carlo) is a family of methods that are applied in computational physics and chemistry and also widely used in bayesian machine learning. It is used to simulate physical systems with Gibbs canonical distribution: $$ p(\vx) \propto \exp\left( - \frac{U(\vx)}{T} \right) $$ Probability `$ p(\vx) $` of a system to be in the state `$ \vx $` depends on the energy of the state `$U

[katsumushi]

Hamiltonian Monte Carlo explained