An Introduction to Hamiltonian Monte Carlo Method for Sampling
The goal of this article is to introduce the Hamiltonian Monte Carlo (HMC) method -- a Hamiltonian dynamics-inspired algorithm for sampling from a Gibbs density $\pi(x) \propto e^{-f(x)}$. We focus on the "idealized" case, where one can compute continuous trajectories exactly. We show that idealized HMC preserves $\pi$ and we establish its convergence when $f$ is strongly convex and smooth.
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