Hamiltonian Monte Carlo on Symmetric and Homogeneous Spaces via Symplectic Reduction (1903.02699v2)

Abstract: The Hamiltonian Monte Carlo method generates samples by introducing a mechanical system that explores the target density. For distributions on manifolds it is not always simple to perform the mechanics as a result of the lack of global coordinates, the constraints of the manifold, and the requirement to compute the geodesic flow. In this paper we explain how to construct the Hamiltonian system on naturally reductive homogeneous spaces using symplectic reduction, which lifts the HMC scheme to a matrix Lie group with global coordinates and constant metric. This provides a general framework that is applicable to many manifolds that arise in applications, such as hyperspheres, hyperbolic spaces, symmetric positive-definite matrices, Grassmannian, and Stiefel manifolds.