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Creators/Authors contains: "Lee, Yin Tat"

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  1. Free, publicly-accessible full text available November 6, 2024
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  3. 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 M ⊂ R^n. We show that for distributions in the form of e−^{a x} on a polytope with m constraints, the convergence rate of a family of commonly-used integrators is independent of ∥a∥_2 and the geometry of the polytope. In particular, the implicit midpoint method (IMM) and the generalized Leapfrog method (LM) have a mixing time of mn^3 to achieve ϵ total variation distance to the target distribution. These guarantees are based on a general bound on the convergence rate for densities of the form e^{−f(x)} in terms of parameters of the manifold and the integrator. Our theoretical guarantee complements the empirical results of our old result, which shows that RHMC with IMM can sample ill-conditioned, non-smooth and constrained distributions in very high dimension efficiently in practice. 
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