A Conceptual Introduction to Hamiltonian Monte Carlo
Michael [ Michael Betancourt is a research scientist in the Applied Statistics Center at Columbia University. Much of this review was completed as a Research Fellow at the Centre for Research in Statistical Methodology, University of Warwick, Coventry CV4 7AL, UK .
Abstract
Hamiltonian Monte Carlo has proven a remarkable empirical success, but only recently have we begun to develop a rigorous understanding of why it performs so well on difficult problems and how it is best applied in practice. Unfortunately, that understanding is confined within the mathematics of differential geometry which has limited its dissemination, especially to the applied communities for which it is particularly important.
原文 arXiv:1701.02434;中英对照 + 大白话阅读 https://aha.fim.ai/paper/1701.02434v2