Geometry and Dynamics for Markov Chain Monte Carlo

Alessandro Barp, Francois-Xavier Briol, Anthony D. Kennedy, Mark Girolami

Research output: Contribution to journalArticlepeer-review

Abstract

Markov Chain Monte Carlo methods have revolutionised mathematical computation and enabled statistical inference within many previously intractable models. In this context, Hamiltonian dynamics have been proposed as an efficient way of building chains which can explore probability densities efficiently. The method emerges from physics and geometry and these links have been extensively studied by a series of authors through the last thirty years. However, there is currently a gap between the intuitions and knowledge of users of the methodology and our deep understanding of these theoretical foundations. The aim of this review is to provide a comprehensive introduction to the geometric tools used in Hamiltonian Monte Carlo at a level accessible to statisticians, machine learners and other users of the methodology with only a basic understanding of Monte Carlo methods. This will be complemented with some discussion of the most recent advances in the field which we believe will become increasingly relevant to applied scientists.
Original languageEnglish
Pages (from-to)451-471
JournalAnnual Review of Statistics and its Application
Volume5
DOIs
Publication statusPublished - 20 Jun 2017

Keywords

  • stat.CO
  • cs.LG
  • hep-lat
  • math.NA
  • stat.ML

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