When does Metropolized Hamiltonian Monte Carlo provably outperform Metropolis-adjusted Langevin algorithm?
arXiv:2304.04724v3 Announce Type: replace-cross Abstract: We analyze the mixing time of Metropolized Hamiltonian Monte Carlo (HMC) with the leapfrog integrator to sample from a distribution on $mathbb{R}^d$ whose log-density is smooth, has Lipschitz Hessian in Frobenius norm and satisfies isoperimetry. We bound the gradient complexity to reach $epsilon$ error in total variation distance from a warm start by $tilde O(d^{1/4}text{polylog}(1/epsilon))$ and demonstrate the benefit of choosing the number of leapfrog steps to be larger than 1. To surpass […]