CCM Colloquium: Nawaf Bou-Rabee (Rutgers University)

Feb 22, 2023, 10:00 AM → Mar 7, 2023, 11:00 AM America/New_York

3rd Floor Classroom/3-Flatiron Institute (162 5th Avenue)

Title: Adjustable Randomized Time Integrators for Hamiltonian Monte Carlo

 

Abstract: Hamiltonian Monte Carlo is a gradient-based Metropolis-Hastings algorithm with a proposal distribution that involves ceil(T/h) steps of a time integrator of Hamiltonian dynamics; where T and h are the duration and time-step-size hyperparameters.  Here we show how to incorporate time integrator randomization into the proposal distribution and present L^2 Wasserstein mixing time guarantees for the corresponding unadjusted algorithm.  These guarantees illustrate the potential role of time integrator randomization in HMC.