- Volume 23, Number 4A (2017), 2257-2298.
The geometric foundations of Hamiltonian Monte Carlo
Although Hamiltonian Monte Carlo has proven an empirical success, the lack of a rigorous theoretical understanding of the algorithm has in many ways impeded both principled developments of the method and use of the algorithm in practice. In this paper, we develop the formal foundations of the algorithm through the construction of measures on smooth manifolds, and demonstrate how the theory naturally identifies efficient implementations and motivates promising generalizations.
Bernoulli Volume 23, Number 4A (2017), 2257-2298.
Received: May 2015
First available in Project Euclid: 9 May 2017
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Betancourt, Michael; Byrne, Simon; Livingstone, Sam; Girolami, Mark. The geometric foundations of Hamiltonian Monte Carlo. Bernoulli 23 (2017), no. 4A, 2257--2298. doi:10.3150/16-BEJ810. https://projecteuclid.org/euclid.bj/1494316818