Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Conferences, Workshops, Symposiums, and Seminars
  4. Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions 2: Numerical integrators
 
conference paper

Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions 2: Numerical integrators

Mangoubi, Oren  
•
Smith, Aaron
January 1, 2019
22Nd International Conference On Artificial Intelligence And Statistics, Vol 89
22nd International Conference on Artificial Intelligence and Statistics (AISTATS)

We obtain quantitative bounds on the mixing properties of the Hamiltonian Monte Carlo (HMC) algorithm with target distribution in d-dimensional Euclidean space, showing that HMC mixes quickly whenever the target log-distribution is strongly concave and has Lipschitz gradients. We use a coupling argument to show that the popular leapfrog implementation of HMC can sample approximately from the target distribution in a number of gradient evaluations which grows like d(<^>)1/2 with the dimension and grows at most polynomially in the strong convexity and Lipschitz-gradient constants. Our results significantly extend and improve on the dimension dependence of previous quantitative bounds on the mixing of HMC and of the unadjusted Langevin algorithm in this setting.

  • Details
  • Metrics
Type
conference paper
Web of Science ID

WOS:000509687900061

Author(s)
Mangoubi, Oren  
Smith, Aaron
Date Issued

2019-01-01

Publisher

MICROTOME PUBLISHING

Publisher place

Brookline

Published in
22Nd International Conference On Artificial Intelligence And Statistics, Vol 89
Series title/Series vol.

Proceedings of Machine Learning Research

Volume

89

Start page

586

End page

595

Subjects

convergence

•

equilibrium

•

langevin

•

perturbation

•

algorithm

•

trend

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
LTHC  
Event nameEvent placeEvent date
22nd International Conference on Artificial Intelligence and Statistics (AISTATS)

Naha, JAPAN

Apr 16-18, 2019

Available on Infoscience
March 6, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/167066
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés