COUPLING AND CONVERGENCE FOR HAMILTONIAN MONTE CARLO

• 成果类型: Article
• 署名作者: Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael
• 署名单位: Rutgers University System; Rutgers University Camden; University of Bonn
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1528
• 发表日期: 2020
• 页码: 1209-1250
• 关键词: contraction rates; andersen thermostat; sampler; mcmc

摘要

Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L-1 Wasserstein) distance. The lower bound for the contraction rate is explicit. Global convexity of the potential is not required, and thus multimodal target distributions are included. Explicit quantitative bounds for the number of steps required to approximate the stationary distribution up to a given error epsilon are a direct consequence of contractivity. These bounds show that HMC can overcome diffusive behavior if the duration of the Hamiltonian dynamics is adjusted appropriately.