A General Metric for Riemannian Manifold Hamiltonian Monte Carlo

  • Michael Betancourt
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8085)


Markov Chain Monte Carlo (MCMC) is an invaluable means of inference with complicated models, and Hamiltonian Monte Carlo, in particular Riemannian Manifold Hamiltonian Monte Carlo (RMHMC), has demonstrated success in many challenging problems. Current RMHMC implementations, however, rely on a Riemannian metric that limits their application. In this paper I propose a new metric for RMHMC without these limitations and verify its success on a distribution that emulates many hierarchical and latent models.


Riemannian Manifold Markov Chain Monte Carlo Target Distribution Hamiltonian Evolution Euclidean Manifold 
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© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Michael Betancourt
    • 1
  1. 1.Department of StatisticsColumbia UniversityNew YorkUSA

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