Optimal convergence rate of Hamiltonian Monte Carlo for strongly logconcave distributions

DOI10.4086/TOC.2022.V018A009OpenAlexW4225350188MaRDI QIDQ5077151FDOQ5077151

Authors: Zongchen Chen, Santosh S. Vempala 

Publication date: 18 May 2022

Published in: Theory of Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.02313

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zbMATH Keywords

samplingHamiltonian Monte Carlospectral gapstrong convexitylogconcave distribution

Mathematics Subject Classification ID

Randomized algorithms (68W20) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Theory of computing (68Qxx)

Cited In (8)

• Mixing time guarantees for unadjusted Hamiltonian Monte Carlo
• An entropic approach for Hamiltonian Monte Carlo: the idealized case
• Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
• Rapid convergence of the unadjusted Langevin algorithm: isoperimetry suffices
• Couplings for Andersen dynamics
• Convergence of unadjusted Hamiltonian Monte Carlo for mean-field models
• On Irreversible Metropolis Sampling Related to Langevin Dynamics
• On the dissipation of ideal Hamiltonian Monte Carlo sampler

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