Mixing time guarantees for unadjusted Hamiltonian Monte Carlo

نویسندگان

چکیده

We provide quantitative upper bounds on the total variation mixing time of Markov chain corresponding to unadjusted Hamiltonian Monte Carlo (uHMC) algorithm. For two general classes models and fixed discretization step size h, is shown depend only logarithmically dimension. Moreover, we distance between invariant measure uHMC true target measure. As a consequence, show that an ε-accurate approximation distribution μ in can be achieved by uHMC: (i) for broad class with Od3∕4ε−1∕2log(d∕ε) gradient evaluations; (ii) mean field weak interactions Od1∕2ε−1∕2log(d∕ε) evaluations. The proofs are based construction successful couplings realize bounds.

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Magnetic Hamiltonian Monte Carlo

Hamiltonian Monte Carlo (HMC) exploits Hamiltonian dynamics to construct efficient proposals for Markov chain Monte Carlo (MCMC). In this paper, we present a generalization of HMC which exploits non-canonical Hamiltonian dynamics. We refer to this algorithm as magnetic HMC, since in 3 dimensions a subset of the dynamics map onto the mechanics of a charged particle coupled to a magnetic field. W...

متن کامل

Wormhole Hamiltonian Monte Carlo

In machine learning and statistics, probabilistic inference involving multimodal distributions is quite difficult. This is especially true in high dimensional problems, where most existing algorithms cannot easily move from one mode to another. To address this issue, we propose a novel Bayesian inference approach based on Markov Chain Monte Carlo. Our method can effectively sample from multimod...

متن کامل

Split Hamiltonian Monte Carlo

We show how the Hamiltonian Monte Carlo algorithm can sometimes be speeded up by “splitting” the Hamiltonian in a way that allows much of the movement around the state space to be done at low computational cost. One context where this is possible is when the log density of the distribution of interest (the potential energy function) can be written as the log of a Gaussian density, which is a qu...

متن کامل

Monte Carlo Hamiltonian

We construct an effective Hamiltonian via Monte Carlo from a given action. This Hamiltonian describes physics in the low energy regime. We test it by computing spectrum, wave functions and thermodynamical observables (average energy and specific heat) for the free system and the harmonic oscillator. The method is shown to work also for other local potentials. PACS index: o3.65.-w, 05.10.Ln ∗Cor...

متن کامل

Stochastic Gradient Hamiltonian Monte Carlo

Supplementary Material A. Background on Fokker-Planck Equation The Fokker-Planck equation (FPE) associated with a given stochastic differential equation (SDE) describes the time evolution of the distribution on the random variables under the specified stochastic dynamics. For example, consider the SDE: dz = g(z)dt+N (0, 2D(z)dt), (16) where z ∈ R, g(z) ∈ R, D(z) ∈ Rn×n. The distribution of z go...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Bernoulli

سال: 2023

ISSN: ['1573-9759', '1350-7265']

DOI: https://doi.org/10.3150/21-bej1450