1. Home
  2. agenda
  3. Coupling and convergence for Hamiltonian Monte Carlo
Registration
You would like to participate to this event
Register
Contacts
communication [at] ens-paris-saclay.fr (Communication)
Andreas Eberle

Web page

Coupling and convergence for Hamiltonian Monte Carlo

Andreas Eberle (Bonn University), will give a lecture, organized by the CMLA, about "Coupling and convergence for Hamiltonian Monte Carlo", the 24th october.
Le 24/10/2018 : 11:00 à 12:00
Ajouter à mon agenda 2024-04-07 12:29:27 2024-04-07 12:29:27 Coupling and convergence for Hamiltonian Monte Carlo Andreas Eberle (Bonn University), will give a lecture, organized by the CMLA, about "Coupling and convergence for Hamiltonian Monte Carlo", the 24th october. Cournot Building, Room C103 ENS-PARIS-SACLAY webmaster@ens-paris-saclay.fr Europe/Paris public
Partially motivated by previous work on Langevin diffusions, we introduce a new coupling for the transition step of Hamiltonian Monte Carlo.
 

This coupling is shown to be contractive with an explicit rate in a carefully designed L1 Wasserstein distance. As a consequence, we derive quantitative bounds for convergence to equilibrium without assuming global convexity.

The results show rigorously that HMC can improve on Random Walk based MCMC methods by overcoming diffusive behaviour. 

Print page