Online Hamiltonian Monte Carlo Demo

(formerly known as `Hybrid Monte Carlo')

Task: sample from the posterior distribution of a bivariate Gaussian distribution given ten data points. The left-hand image shows the details underlying a sequence of HMC transitions. The right-hand image shows 50 of the successive states produced by the Markov chain - the endpoints of the trajectories.
   
fit.tar tar file giving octave source code.