Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. Though originating in physics, Hamiltonian dynamics can be applied to most problems with continuous state spaces by simply introducing fictitious "momentum" variables. A key to its usefulness is that Hamiltonian dynamics preserves volume, and its trajectories can thus be used to define complex mappings without the need to account for a hard-to-compute Jacobian factor - a property that can be exactly maintained even when the dynamics is approximated by discretizing time. In this review, I discuss theoretical and practical aspects of Hamiltonian Monte Carlo, and present some of its variations, including using windows of states for deciding on acceptance or rejection, computing trajectories using fast approximations, tempering during the course of a trajectory to handle isolated modes, and short-cut methods that prevent useless trajectories from taking much computation time.
Chapter 5, pages 113 to 162, in the Handbook of Markov Chain Monte Carlo, edited by Steve Brooks, Andrew Gelman, Galin L. Jones, and Xiao-Li Meng, Chapman & Hall / CRC Press, 2011.
First online version posted 5 March 2010: postscript, pdf. This version does not differ stubstantively from the final version at the handbook website.
There are R programs that accompany this review paper.