On $L^q$ Convergence of the Hamiltonian Monte Carlo
Classical Analysis and ODEs
2022-06-07 v2 Data Structures and Algorithms
Machine Learning
Functional Analysis
Machine Learning
Abstract
We establish convergence for Hamiltonian Monte Carlo algorithms. More specifically, under mild conditions for the associated Hamiltonian motion, we show that the outputs of the algorithms converge (strongly for and weakly for ) to the desired target distribution.
Cite
@article{arxiv.2101.08688,
title = {On $L^q$ Convergence of the Hamiltonian Monte Carlo},
author = {Soumyadip Ghosh and Yingdong Lu and Tomasz Nowicki},
journal= {arXiv preprint arXiv:2101.08688},
year = {2022}
}