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arxiv: 2202.00977 · v5 · pith:XSUHAEUN · submitted 2022-02-02 · math.PR · math.ST· stat.TH

HMC and underdamped Langevin united in the unadjusted convex smooth case

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classification math.PR math.STstat.TH
keywords kappalangevinsamplersunderdampedcaseconvergenceparametersposition
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We consider a family of unadjusted generalized HMC samplers, which includes standard position HMC samplers and discretizations of the underdamped Langevin process. A detailed analysis and optimization of the parameters is conducted in the Gaussian case, which shows an improvement from $1/\kappa$ to $1/\sqrt{\kappa}$ for the convergence rate in terms of the condition number $\kappa$ by using partial velocity refreshment, with respect to classical full refreshments. A similar effect is observed empirically for two related algorithms, namely Metropolis-adjusted gHMC and kinetic piecewise-deterministic Markov processes. Then, a stochastic gradient version of the samplers is considered, for which dimension-free convergence rates are established for log-concave smooth targets over a large range of parameters, gathering in a unified framework previous results on position HMC and underdamped Langevin and extending them to HMC with inertia.

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