David MacKay

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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 left-hand image shows the details underlying a sequence of HMC transitions. The right-hand image shows 50 of the successive states produced by the Markov chain - the endpoints of the trajectories.
Hamiltonian Monte Carlo demonstration details  Hamiltonian Monte Carlo demonstration 
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 "strongly-correlated Gaussian" example as is used in the Adler Overrelaxation demo.

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