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