On the geometric ergodicity of Hamiltonian Monte Carlo
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Publication:2325354
DOI10.3150/18-BEJ1083zbMATH Open1428.62375arXiv1601.08057OpenAlexW2972588190MaRDI QIDQ2325354FDOQ2325354
Authors: Samuel Livingstone, Michael Betancourt, Simon Byrne, M. Girolami 
Publication date: 25 September 2019
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We establish general conditions under which Markov chains produced by the Hamiltonian Monte Carlo method will and will not be geometrically ergodic. We consider implementations with both position-independent and position-dependent integration times. In the former case we find that the conditions for geometric ergodicity are essentially a gradient of the log-density which asymptotically points towards the centre of the space and grows no faster than linearly. In an idealised scenario in which the integration time is allowed to change in different regions of the space, we show that geometric ergodicity can be recovered for a much broader class of tail behaviours, leading to some guidelines for the choice of this free parameter in practice.
Full work available at URL: https://arxiv.org/abs/1601.08057
Recommendations
Markov chain Monte CarloHamiltonian Monte CarloMarkov chainsstochastic simulationgeometric ergodicityHamiltonian dynamicshybrid Monte Carlo
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