Cruising The Simplex: Hamiltonian Monte Carlo and the Dirichlet Distribution
Data Analysis, Statistics and Probability
2015-03-02 v4
Abstract
Due to its constrained support, the Dirichlet distribution is uniquely suited to many applications. The constraints that make it powerful, however, can also hinder practical implementations, particularly those utilizing Markov Chain Monte Carlo (MCMC) techniques such as Hamiltonian Monte Carlo. I demonstrate a series of transformations that reshape the canonical Dirichlet distribution into a form much more amenable to MCMC algorithms.
Keywords
Cite
@article{arxiv.1010.3436,
title = {Cruising The Simplex: Hamiltonian Monte Carlo and the Dirichlet Distribution},
author = {M. J. Betancourt},
journal= {arXiv preprint arXiv:1010.3436},
year = {2015}
}
Comments
5 pages, 0 figures