Optimal convergence rate of Hamiltonian Monte Carlo for strongly logconcave distributions

DOI10.4086/TOC.2022.V018A009MaRDI QIDQ5077151zbMATH OpenOpenAlexFDO

Authors Zongchen Chen, Santosh S. Vempala

Publication date 18 May 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cited in

(8)

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

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