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File:Gradient descent Hamiltonian Monte Carlo comparison.gif

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Gradient_descent_Hamiltonian_Monte_Carlo_comparison.gif (548 × 284 pixels, file size: 9.31 MB, MIME type: image/gif, looped, 226 frames, 18 s)

Summary

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, the triangle eventually arrives at the optimal point through gradient descent, 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 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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Captions

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

24 March 2024

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Date/TimeThumbnailDimensionsUserComment
current00:01, 25 March 2024Thumbnail for version as of 00:01, 25 March 2024548 × 284 (9.31 MB)JustinkunimuneUploaded own work with UploadWizard

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