Condition-number-independent convergence rate of Riemannian Hamiltonian Monte Carlo with numerical integrators
The Thirty Sixth Annual Conference on Learning Theory, 2023•proceedings.mlr.press
We study the convergence rate of discretized Riemannian Hamiltonian Monte Carlo on
sampling from distributions in the form of $ e^{-f (x)} $ on a convex body $\mathcal
{M}\subset\R^{n} $. We show that for distributions in the form of $ e^{-\alpha^{\top} x} $ on a
polytope with $ m $ constraints, the convergence rate of a family of commonly-used
integrators is independent of $\left\Vert\alpha\right\Vert _ {2} $ and the geometry of the
polytope. In particular, the implicit midpoint method (IMM) and the generalized Leapfrog …
sampling from distributions in the form of $ e^{-f (x)} $ on a convex body $\mathcal
{M}\subset\R^{n} $. We show that for distributions in the form of $ e^{-\alpha^{\top} x} $ on a
polytope with $ m $ constraints, the convergence rate of a family of commonly-used
integrators is independent of $\left\Vert\alpha\right\Vert _ {2} $ and the geometry of the
polytope. In particular, the implicit midpoint method (IMM) and the generalized Leapfrog …
Abstract
We study the convergence rate of discretized Riemannian Hamiltonian Monte Carlo on sampling from distributions in the form of on a convex body $\mathcal {M}\subset\R^{n} $. We show that for distributions in the form of on a polytope with constraints, the convergence rate of a family of commonly-used integrators is independent of and the geometry of the polytope. In particular, the implicit midpoint method (IMM) and the generalized Leapfrog method (LM) have a mixing time of to achieve total variation distance to the target distribution. These guarantees are based on a general bound on the convergence rate for densities of the form in terms of parameters of the manifold and the integrator. Our theoretical guarantee complements the empirical results of\cite {kook2022sampling}, which shows that RHMC with IMM can sample ill-conditioned, non-smooth and constrained distributions in very high dimension efficiently in practice.
proceedings.mlr.press
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