On the Geometric Ergodicity of Hamiltonian Monte Carlo

29 Jan 2016Samuel LivingstoneMichael BetancourtSimon ByrneMark Girolami

We establish general conditions under which Markov chains produced by the Hamiltonian Monte Carlo method will and will not be geometrically ergodic. We consider implementations with both position-independent and position-dependent integration times... (read more)

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