The geometric foundations of Hamiltonian Monte Carlo
File(s)euclid.bj.1494316818(1).pdf (1.87 MB)
Published version
Author(s)
Betancourt, Michael
Byrne, Simon
Livingstone, Sam
Girolami, Mark
Type
Journal Article
Abstract
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.
Date Issued
2017-11-01
Date Acceptance
2017-05-01
Citation
Bernoulli, 2017, 23 (4A), pp.2257-2298
ISSN
1350-7265
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Start Page
2257
End Page
2298
Journal / Book Title
Bernoulli
Volume
23
Issue
4A
Copyright Statement
© 2017 ISI/BS.
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000403031900004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
differential geometry
disintegration
fiber bundle
Hamiltonian Monte Carlo
Markov chain Monte Carlo
Riemannian geometry
symplectic geometry
smooth manifold
ALGORITHM
DISINTEGRATION
INFERENCE
SPACES
Publication Status
Published
Date Publish Online
2017-05-09