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Andreas Eberle

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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 2025-05-12 15:01:23 2025-05-12 15:01:23 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. 

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