Efficient Monte Carlo sampling This post is on the extension of the post about Hamiltonian Monte Carlo method. Therefore, I assume the readers already read the post. Overrelaxation also reduces the random property of the Monte Carlo sampling, and speeds up the convergence of the Markov chain. Gibbs sampling In advance of studying over relaxation, we study Gibbs sampling. In the general case of a system with K variables, a single iteration involves sampling one parameter at a time.

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Yay! Finally something more directly from physics to data science. We will also have a chance to see how Metropolis-Hastings algorithm works! The Hamiltonian Monte Carlo method is a kind of Metropolis-Hastings method. One of the weak points of Monte Carlo sampling comes up with random walks. Hamiltonian Monte Carlo method (HMC) is an approach to reducing the randomizing in algorithm of the sampling. The original name was hybrid Monte Carlo method.

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Namshik Kim

physicist, data scientist

Data Scientist

Vancouver, BC, Canada.