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arXiv · 1705.00166

On the convergence of Hamiltonian Monte Carlo

Alain Durmus·Eric Moulines·Eero Saksman
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Abstract

This paper discusses the irreducibility and geometric ergodicity of the Hamiltonian Monte Carlo (HMC) algorithm. We consider cases where the number of steps of the symplectic integrator is either fixed or random. Under mild conditions on the potential $\F$ associated with target distribution $\pi$, we first show that the Markov kernel associated to the HMC algorithm is irreducible and recurrent. Under more stringent conditions, we then establish that the Markov kernel is Harris recurrent. Finally, we provide verifiable conditions on $\F$ under which the HMC sampler is geometrically ergodic.

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Alain Durmus, Eric Moulines, Eero Saksman. 2017-04-29. On the convergence of Hamiltonian Monte Carlo. https://arxiv.org/abs/1705.00166

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