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arXiv · 1808.04299

Randomized Hamiltonian Monte Carlo as Scaling Limit of the Bouncy Particle Sampler and Dimension-Free Convergence Rates

George Deligiannidis·Daniel Paulin·Alexandre Bouchard-Côté·Arnaud Doucet
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Abstract

The Bouncy Particle Sampler is a Markov chain Monte Carlo method based on a nonreversible piecewise deterministic Markov process. In this scheme, a particle explores the state space of interest by evolving according to a linear dynamics which is altered by bouncing on the hyperplane tangent to the gradient of the negative log-target density at the arrival times of an inhomogeneous Poisson Process (PP) and by randomly perturbing its velocity at the arrival times of an homogeneous PP. Under regularity conditions, we show here that the process corresponding to the first component of the particle and its corresponding velocity converges weakly towards a Randomized Hamiltonian Monte Carlo (RHMC) process as the dimension of the ambient space goes to infinity. RHMC is another piecewise deterministic non-reversible Markov process where a Hamiltonian dynamics is altered at the arrival times of a homogeneous PP by randomly perturbing the momentum component. We then establish dimension-free convergence rates for RHMC for strongly log-concave targets with bounded Hessians using coupling ideas and hypocoercivity techniques.

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George Deligiannidis, Daniel Paulin, Alexandre Bouchard-Côté, Arnaud Doucet. 2018-08-13. Randomized Hamiltonian Monte Carlo as Scaling Limit of the Bouncy Particle Sampler and Dimension-Free Convergence Rates. https://arxiv.org/abs/1808.04299

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