Accelerating Hamiltonian Monte Carlo via Chebyshev Integration Time. (arXiv:2207.02189v1 [cs.LG])

Hamiltonian Monte Carlo (HMC) is a popular method in sampling. While there
are quite a few works of studying this method on various aspects, an
interesting question is how to choose its integration time to achieve
acceleration. In this work, we consider accelerating the process of sampling
from a distribution $\pi(x) \propto \exp(-f(x))$ via HMC via time-varying
integration time. When the potential $f$ is $L$-smooth and $m$-strongly convex,
i.e.\ for sampling from a log-smooth and strongly log-concave target
distribution $\pi$, …

arxiv hamiltonian monte carlo integration lg time