gemlib.mcmc.hmc

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gemlib.mcmc.hmc#

gemlib.mcmc.hmc(step_size=0.1, num_leapfrog_steps=16, mass_matrix=None)#

Hamiltonian Monte Carlo

Parameters:

  • step_size (float) – the step size to take

  • num_leapfrog_steps (int) – number of leapfrog steps to take

  • mass_matrix (Iterable | None) – a mass matrix (defaults to diag(1) if None)

Returns:

A SamplingAlgorithm

Return type:

SamplingAlgorithm

References

Michael Betancourt. A Conceptual Introduction to Hamiltonian Monte Carlo. arXiv, 2017. https://arxiv.org/abs/1701.02434

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