English

Convergence of unadjusted Hamiltonian Monte Carlo for mean-field models

Probability 2023-07-06 v4

Abstract

We present dimension-free convergence and discretization error bounds for the unadjusted Hamiltonian Monte Carlo algorithm applied to high-dimensional probability distributions of mean-field type. These bounds require the discretization step to be sufficiently small, but do not require strong convexity of either the unary or pairwise potential terms present in the mean-field model. To handle high dimensionality, our proof uses a particlewise coupling that is contractive in a complementary particlewise metric.

Keywords

Cite

@article{arxiv.2009.08735,
  title  = {Convergence of unadjusted Hamiltonian Monte Carlo for mean-field models},
  author = {Nawaf Bou-Rabee and Katharina Schuh},
  journal= {arXiv preprint arXiv:2009.08735},
  year   = {2023}
}

Comments

38 pages, 4 figures