Bayesian Sampling

Model Perspective

Oct 15, 2022 · Fundamentals

Unlock Faster Bayesian Sampling: How Hamiltonian Monte Carlo Works

Hamiltonian Monte Carlo (HMC) is a rapid sampling technique that improves upon traditional MCMC by leveraging Hamiltonian dynamics, using position and velocity to define potential and kinetic energy, and follows a series of steps—including momentum sampling, leapfrog integration, and Metropolis acceptance—to efficiently explore complex probability distributions.