On the dissipation of ideal Hamiltonian Monte Carlo sampler

Abstract

AbstractWe report on what seems to be an intriguing connection between variable integration time and partial velocity refreshment of Ideal Hamiltonian Monte Carlo samplers, both of which can be used for reducing the dissipative behaviour of the dynamics. More concretely, we show that on quadratic potentials, efficiency can be improved through these means by a factor in Wasserstein‐2 distance, compared to classical constant integration time, fully refreshed HMC. We additionally explore the benefit of randomized integrators for simulating the Hamiltonian dynamics under higher order regularity conditions.