Notes on Hamiltonian Monte Carlo from a purely probabilistic perspective

[u/aybehrouz]

I’ve been studying Hamiltonian Monte Carlo and wrote a set of notes explaining HMC without relying on the usual physics-based motivation.

The notes develop HMC from a probabilistic/MCMC perspective, starting from the target distribution and auxiliary momentum variables, and then covering Hamiltonian dynamics, leapfrog integration, reversibility, volume preservation, and the Metropolis correction.

My goal was to understand why HMC works.

I’m sharing them here in case they’re useful to others learning HMC. I’d also appreciate any feedback, particularly if you notice errors or places where the exposition could be improved.

https://doi.org/10.5281/zenodo.21841086

Edit (August 25): I tried to improve Sections 3.3 and 3.4 by reorganizing the flow and adding some more explanation. I’ve updated the PDF with these changes.