Condition-number-independent convergence rate of Riemannian Hamiltonian Monte Carlo with numerical integrators

13 Oct 2022  ·  Yunbum Kook, Yin Tat Lee, Ruoqi Shen, Santosh S. Vempala ·

We study the convergence rate of discretized Riemannian Hamiltonian Monte Carlo on sampling from distributions in the form of $e^{-f(x)}$ on a convex body $\mathcal{M}\subset\mathbb{R}^{n}$. We show that for distributions in the form of $e^{-\alpha^{\top}x}$ on a polytope with $m$ constraints, the convergence rate of a family of commonly-used integrators is independent of $\left\Vert \alpha\right\Vert _{2}$ and the geometry of the polytope. In particular, the implicit midpoint method (IMM) and the generalized Leapfrog method (LM) have a mixing time of $\widetilde{O}\left(mn^{3}\right)$ to achieve $\epsilon$ total variation distance to the target distribution. These guarantees are based on a general bound on the convergence rate for densities of the form $e^{-f(x)}$ in terms of parameters of the manifold and the integrator. Our theoretical guarantee complements the empirical results of [KLSV22], which shows that RHMC with IMM can sample ill-conditioned, non-smooth and constrained distributions in very high dimension efficiently in practice.

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