mathnet/mathnet-numerics — pull request #37 by manyue (2012-06-15 11:08:52+00:00)
Title: Implementation of hybrid Monte Carlo method

Hi all,

New to here. I have implemented the hybrid (Hamiltonian) Monte Carlo method and would like to contribute to your excellent library. I have added some tests for it. I also added a couple diagnostic methods (autocorrelation and effective size). Please take a look and see if it is suitable for your library. Thanks.

p.s. The tests for the sampling methods are of probabilistic nature, so please do not be alarmed if it does not work on the first time! Try a few times and it should work most of the times.