3 ms·
Shameless plug: I wrote some high quality (I hope) notes on HMC, because I couldn't find an explanation that was (a) rigorous, (b) explained the different point
by bollu 6y ago
Shameless plug: I wrote some high quality (I hope) notes on HMC, because I couldn't find an explanation that was (a) rigorous, (b) explained the different points of view of MCMC, and (c) was visual! Here's the notes: https://github.com/bollu/notes/blob/master/mcmc/report.pdf https://github.com/bollu/notes/blob/master/mcmc/report.pdf
Feedback is much appreciated.
- amitport 6y agoLooks cool. Also, I wish that when I started university somebody would have forced me to start a "notes" repo like yours. Looks great and very smart to have.
- pixelpoet 6y agoOh man, these are great notes, very succinct! I'm not much into proofs, but finally picked up the essence of Hamiltonian M-H thanks to this. (Also, I can't imagine what kind of genius it takes to rigorously derive such a method...)
- kgwgk 6y agoMinor correction: it's "detailed balance" (not "detail balance").
- bollu 6y agoThank you, Fixed!
- contravariant 6y agoYour code contains a small bug, in the leapfrog HMC function the line pnext = -p should be pnext = -pnext. Also this line is only of theoretical importance, it has no effect on the final result (unless you use a weird asymmetric kinetic energy).
- bollu 6y agoNice, thank you for the bug report. fixed!