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On Lq convergence of the Hamiltonian Monte Carlo

Ghosh Soumyadip, Lu Yingdong, Nowicki Tomasz

Journal of Applied Analysis

2023

Vol. 29, nr 1

161--169

We establish Lq convergence for Hamiltonian Monte Carlo (HMC) algorithms. More specifically, under mild conditions for the associated Hamiltonian motion, we show that the outputs of the algorithms converge (strongly for 2 ≤ q < ∞ and weakly for 1 < q < 2) to the desired target distribution. In addition, we establish a general convergence rate for an Lq convergence given a convergence rate at a specific q∗, and apply this result to conclude geometric convergence in the Euclidean space for HMC with uniformly strongly logarithmic concave target and auxiliary distributions.We also present the results of experiments to illustrate convergence in Lq.

Błądzenie Monte Carlo według przepisu Hamiltona

Ghosh Soumyadip, Lu Yingdong, Nowicki Tomasz

Wiadomości Matematyczne

2020

T. 56, Nr 2

227--239