pyhmc: Hamiltonian Monte Carlo in python. Hamiltonian Monte Carlo or Hybrid Monte Carlo (HMC) is a Markov chain Monte Carlo (MCMC) algorithm. Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. It does this by taking a series of steps informed by first-order gradient information. This feature allows it to converge much more quickly to high-dimensional target distributions compared to simpler methods such as Metropolis, Gibbs sampling (and derivatives).

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  1. Arenz, Oleg; Zhong, Mingjun; Neumann, Gerhard: Trust-region variational inference with Gaussian mixture models (2020)