Jamón: An Implementation of Constrained Hamiltonian Monte Carlo

A suite of classes facilitating generalized Hamiltonian Monte Carlo (both constrained and unconstrainted). For details see http://arxiv.org/abs/1112.4118

baseHamiltonian defines the interface for the target distribution, in particular the kinetic energy, the potential energy, the evolution of the position and momentum, and any constraints.

chainBundle provides a container of baseHamiltonians, including the functionality to perform HMC transitions, diagnose convergence, and analyse samples.

Specifically, the code implements Hamiltonians defined on Euclidean and Riemannian manifolds (i.e. with kinetic energies given by quadratic forms):

Example implementations include a multivariate Gaussian and Neal's "funnel" distribution.

Matrix operations are performed with the Eigen template library: http://eigen.tuxfamily.org/

Random number generation is handled with the randomlib library: http://randomlib.sourceforge.net/

Option plotting available with gnuplot: http://www.gnuplot.info/

Copyright Michael Betancourt 2012 betanalpha@gmail.com

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