15
$\begingroup$

Could you provide a step-by-step for dummies explanation of how Hamiltonian Monte Carlo work?

PS: I've already read the answers here, Hamiltonian monte carlo, and here, Hamiltonian Monte Carlo vs. Sequential Monte Carlo, and here, Hamiltonian Monte Carlo: how to make sense of the Metropolis-Hasting proposal? and they do not address it in a step-by-step way.

Improve this question
$\endgroup$
5
  • 4
    $\begingroup$ If you Google Michael Betancourt, you will find a collection of papers and talks that should help you get beyond the dummy point. $\endgroup$
    – Xi'an
    Commented Feb 18, 2018 at 9:18
  • 4
    $\begingroup$ I highly recommend the Conceptual paper arxiv.org/abs/1701.02434 as the starting point. $\endgroup$
    – cwl
    Commented Feb 21, 2018 at 2:25
  • 3
    $\begingroup$ The section of the stan documentation about HMC is solid. mc-stan.org/users/documentation $\endgroup$
    – Sycorax ♦
    Commented Feb 21, 2018 at 16:00
  • 1
    $\begingroup$ IMHO any of the above comments could be turned into an answer - would do that myself, but would feel I got undeserved reputation :-) $\endgroup$
    – Martin Modrák
    Commented Feb 26, 2018 at 15:17
  • 1
    $\begingroup$ Mcelreaths book, Rethinking, has a short section on metropolis sampling and provides an extensions of the analogy to Hamiltonian Monte Carlo. It really is for dummies, And very light on detail, but at least gave me an intuition for what was happening. $\endgroup$
    – bjw
    Commented Mar 15, 2018 at 21:34

1 Answer 1

Reset to default
7
$\begingroup$

As mentioned in the comments by cwl, bjw and Sycorax, the following resources are useful (I can recommend them from my own experience as well):

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.