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On \(L^\mathfrak{q}\) convergence of the Hamiltonian Monte Carlo. (English) Zbl 1515.65011

Summary: We establish \(L^{\mathfrak{q}}\) convergence for Hamiltonian Monte Carlo (HMC) algorithms. More specifically, under mild conditions for the associated Hamiltonian motion, we show that the outputs of the algorithms converge (strongly for \(2\leq\mathfrak{q}<\infty\) and weakly for \(1<\mathfrak{q}<2\)) to the desired target distribution. In addition, we establish a general convergence rate for an \(L^{\mathfrak{q}}\) convergence given a convergence rate at a specific \(q^*\), and apply this result to conclude geometric convergence in the Euclidean space for HMC with uniformly strongly logarithmic concave target and auxiliary distributions. We also present the results of experiments to illustrate convergence in \(L^{\mathfrak{q}} \).

MSC:

65C05 Monte Carlo methods
65P10 Numerical methods for Hamiltonian systems including symplectic integrators

References:

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