File:Gradient descent Hamiltonian Monte Carlo comparison.svg

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An example comparing of maximum likelihood estimation with Hamiltonian Monte Carlo in two dimensions

Summary

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Description
English: In Bayesian statistics, two classes of technique are commonly used to reconstruct unobserved parameters based on observed data. This plot shows the application of each to a two-dimensional toy problem.

The blue triangle shows maximum a posteriori estimation, in which an optimization algorithm such as gradient descent is used to find the set of parameters that maximizes the posterior probability density. Starting from an arbitrary guess, gradient descent follows the blue path and arrives at the optimal point (the blue triangle), and this set of parameters is accepted as the best answer.

The red circles show Hamiltonian Monte Carlo, in which a physics simulation is used to sample the posterior probability distribution. Starting from an arbitrary guess, the simulation stochastically travels along the red path to a variety of likely points, which are all accepted as plausible answers.

The two axes of the plot represent two coupled parameters. The shading and contours represent the posterior probability distribution, where white is lower and green is higher.
Date
Source Own work using: github.com/jkunimune/hamiltonian-mc
Author Justinkunimune
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I, the copyright holder of this work, hereby publish it under the following license:
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Date/TimeThumbnailDimensionsUserComment
current00:01, 25 March 2024Thumbnail for version as of 00:01, 25 March 2024617 × 635 (208 KB)Justinkunimune (talk | contribs)Uploaded own work with UploadWizard

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