Past exam of the mathematics course of the University of Cambridge 2019 iii Paper 216 6 a Solution 2026-10-03
Letbe the Hamiltonian. The Hamiltonian Monte Carlo proposal is accepted with the Metropolis–Hastings acceptance probabilityThe leapfrog map is volume preserving and reversible after momentum reversal, so no proposal-density Jacobian appears.
Past exam of the mathematics course of the University of Cambridge 2023 iii Paper 216 4 a Solution 2026-09-28
Hamiltonian Monte Carlo augments the position by an independent momentum and uses the Hamiltonian functionFrom the current , draw a fresh , apply a fixed number of leapfrog steps to approximate Hamiltonian flow, and obtain . The Metropolis–Hastings acceptance probability isotherwise retain . Momentum negation may be included to make the proposal explicitly reversible. The leapfrog map is volume preserving and reversible, while the acceptance step corrects its discretization error, leaving invariant after the momentum is discarded.