The Convergence of Markov Chain Monte Carlo Methods: From the Metropolis Method to Hamiltonian Monte Carlo

DOI10.1002/ANDP.201700214arXiv1706.01520OpenAlexW2962721303MaRDI QIDQ6059636FDOQ6059636

Authors: Michael Betancourt 

Publication date: 2 November 2023

Published in: Annalen der Physik (Search for Journal in Brave)

Abstract: From its inception in the 1950s to the modern frontiers of applied statistics, Markov chain Monte Carlo has been one of the most ubiquitous and successful methods in statistical computing. In that time its development has been fueled by increasingly difficult problems and novel techniques from physics. In this article I will review the history of Markov chain Monte Carlo from its inception with the Metropolis method to today's state-of-the-art in Hamiltonian Monte Carlo. Along the way I will focus on the evolving interplay between the statistical and physical perspectives of the method.

Full work available at URL: https://arxiv.org/abs/1706.01520

zbMATH Keywords

Markov chain Monte CarloMonte CarloHamiltonian Monte Carlomolecular dynamics

Mathematics Subject Classification ID

Quantum theory (81-XX)

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Cited In (8)

• On the accept-reject mechanism for Metropolis-Hastings algorithms
• Comparison of methodologies to assess the convergence of Markov chain Monte Carlo methods
• Information Theory for Fields
• Trust-region based stochastic variational inference for distributed and asynchronous networks
• Fast and credible likelihood-free cosmology with truncated marginal neural ratio estimation
• Mixing rates for Hamiltonian Monte Carlo algorithms in finite and infinite dimensions
• Coupled simulations and parameter inversion for neural system and electrophysiological muscle models
• Stochastic gradient descent and fast relaxation to thermodynamic equilibrium: a stochastic control approach

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