On the convergence of dynamic implementations of Hamiltonian Monte Carlo and No U-Turn Samplers
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Publication:6442933
arXiv2307.03460MaRDI QIDQ6442933FDOQ6442933
Authors: Alain Durmus, Samuel Gruffaz, Miika Kailas, Eero Saksman, Matti Vihola 
Publication date: 7 July 2023
Abstract: There is substantial empirical evidence about the success of dynamic implementations of Hamiltonian Monte Carlo (HMC), such as the No U-Turn Sampler (NUTS), in many challenging inference problems but theoretical results about their behavior are scarce. The aim of this paper is to fill this gap. More precisely, we consider a general class of MCMC algorithms we call dynamic HMC. We show that this general framework encompasses NUTS as a particular case, implying the invariance of the target distribution as a by-product. Second, we establish conditions under which NUTS is irreducible and aperiodic and as a corrolary ergodic. Under conditions similar to the ones existing for HMC, we also show that NUTS is geometrically ergodic. Finally, we improve existing convergence results for HMC showing that this method is ergodic without any boundedness condition on the stepsize and the number of leapfrog steps, in the case where the target is a perturbation of a Gaussian distribution.
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