

Online Hamiltonian Monte Carlo Demo
(formerly known as `Hybrid Monte Carlo')
Task: sample from the posterior distribution of a bivariate Gaussian
distribution given ten data points.
The lefthand image shows the details underlying a sequence of
HMC transitions. The righthand image shows 50 of the successive states
produced by the Markov chain  the endpoints of the trajectories.
fit.tar tar file giving octave source code.
There is also an introductory
octave DEMO
that explains Hamiltonian Monte Carlo
and contrasts it with the Metropolis method,
using the same "stronglycorrelated Gaussian"
example as is used in the
Adler Overrelaxation demo.

Site last modified Sun Aug 31 18:51:05 BST 2014

