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HMC and underdamped Langevin united in the unadjusted convex smooth case

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arxiv 2202.00977 v5 pith:XSUHAEUN submitted 2022-02-02 math.PR math.STstat.TH

classification math.PRmath.STstat.TH
keywords kappalangevinsamplersunderdampedcaseconvergenceparametersposition
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abstract

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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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. OpenAlex reports about 5 citations worldwide. Full citation record

  1. Practical and Scalable Hamiltonian Monte Carlo Without the Metropolis Test

    stat.CO 2024-12 conditional novelty 7.0 of 10

    For Gaussian targets the per-dimension variance of the integrator energy error provides a sharp bound on the asymptotic bias, and the resulting automatic step-size selection makes unadjusted HMC and Langevin samplers ...

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