Convergence of preconditioned Hamiltonian Monte Carlo on Hilbert spaces
نویسندگان
چکیده
Abstract In this article, we consider the preconditioned Hamiltonian Monte Carlo (pHMC) algorithm defined directly on an infinite-dimensional Hilbert space. context, and under a condition reminiscent of strong log-concavity target measure, prove convergence bounds for adjusted pHMC in standard 1-Wasserstein distance. The arguments rely synchronous coupling two copies pHMC, which is controlled by adapting elements from Bou-Rabee, Eberle Zimmer (2020).
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ژورنال
عنوان ژورنال: Ima Journal of Numerical Analysis
سال: 2022
ISSN: ['1464-3642', '0272-4979']
DOI: https://doi.org/10.1093/imanum/drac052