Talks
Fall 2021

# An Introduction to Hamiltonian Monte Carlo Method for Sampling

Tuesday, August 31st, 2021 3:30 pm4:30 pm

The goal of this talk is to introduce the Hamiltonian Monte Carlo method -- a physics-inspired algorithm for sampling from Gibbs densities. We focus on the idealized'' case, where one can compute continuous trajectories exactly. We show that idealized HMC preserves the target density and we establish its convergence when $f$ is strongly convex.