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Séminaire du CMLA : Coupling and convergence for Hamiltonian Monte Carlo
le 24 octobre 2018
11h00 - 12h00
Séminaire animé par Andreas Eberle (Bonn University)
Andreas_Eberle.jpg
Abstract :
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.
- Type :
- Séminaires - conférences
- Lieu(x) :
- Campus de Cachan
Bâtiment Cournot, salle C103