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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

Feedback is much appreciated.




Looks 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.


Your 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).


Nice, thank you for the bug report. fixed!


Oh 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...)


Minor correction: it's "detailed balance" (not "detail balance").


Thank you, Fixed!




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