Hamiltonian Monte Carlo On Lie Groups and Constrained Mechanics on Homogeneous Manifolds

Abstract

In this paper we show that the Hamiltonian Monte Carlo method for compact Lie groups constructed in \cite{kennedy88b} using a symplectic structure can be recovered from canonical geometric mechanics with a bi-invariant metric. Hence we obtain the correspondence between the various formulations of Hamiltonian mechanics on Lie groups, and their induced HMC algorithms. Working on $\G\times \g$ we recover the Euler-Arnold formulation of geodesic motion, and construct explicit HMC schemes that extend \cite{kennedy88b,Kennedy:2012} to non-compact Lie groups by choosing metrics with appropriate invariances. Finally we explain how mechanics on homogeneous spaces can be formulated as a constrained system over their associated Lie groups, and how in some important cases the constraints can be naturally handled by the symmetries of the Hamiltonian.