# Questions tagged [hmc]

Tag for questions related to Hamiltonian Monte Carlo.

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### Can someone explain how dual averaging helps the No U-Turn Sampler (NUTS) choose step-size adaptively?

I have read both the original NUTS paper and also the dual averaging paper by Nesterov but due to my lack of background knowledge in optimisation, I don't really understand how dual averaging works. ...
192 views

### How does Hamiltonian Monte Carlo work?

I made the below graphic to explain how I currently understand the HMC algorithm. I'd like verification from a subject matter expert if this understanding is or isn't correct. The text in the below ...
19 views

### What is the inference behind the momentum variable and the Kinetic energy for a weakly non-linear inverse problems in the HMC method?

We generate an auxiliary momentum variable in the HMC method to provide gradient for the propagation of trajectory (m, p) (model or position, momentum) in the phase space. If we look into Newton's ...
33 views

### Can I do HMC with the wrong Hamiltonian?

I am a novice HMC user. I am reading Neal's chapter in the Handbook of MCMC. I think I can present the HMC algorithm as : Sample a new momentum Propose a new momentum and a new position using a ...
27 views

### Deriving a momentum proposal distribution for Hamiltonian Monte Carlo — non-Gaussian kinetic energies

I am trying to understand how to derive the optimal way to generate momenta in HMC. In the gaussian case, I think the approach is that if one samples proportional to the Gaussian, the log likelihoods ...
28 views

### For Hamiltonian Monte Carlo, what should be done when one of the steps in the leapfrog path yields no solution?

When estimating a very complex (potentially discontinuous) model with Hamiltonian Monte Carlo, what should be done when one of the steps in the leapfrog path yields no solution? The issue is that ...
19 views

### Hamiltonian Monte Carlo with acceptance threshold of zero

I realize this is an open-ended question, but I'll accept any answer with gives a reasonable explanation and something to try. I'm running Hamiltonian Monte Carlo, specially pyhmc, and logging the ...
42 views

### Strange substitution in HMC

I try to read paper, MCMC using Hamiltonian dynamics). The author, Neal states(P28): To begin, Cruetz nodes that the following relationship holds when any Metropolis-style algorithm is used to ...
25 views

### Optimal Scaling HMC proof

I'm reading the paper https://arxiv.org/pdf/1001.4460.pdf I get very confused when reading the author proof of the theorem (4.2) Here are few points. (1) The expected squared jump distance is ...
146 views

### Why does Stan initialize an MCMC chain with a random value generated uniformly from [-2, 2] instead of a random value generated from the prior?

From Stan reference, The default is to randomly generate initial values between -2 and 2 on the unconstrained support It seems to me that it makes more sense to randomly generate initial values ...