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arXiv · 2101.08688

On $L^q$ Convergence of the Hamiltonian Monte Carlo

Soumyadip Ghosh·Yingdong Lu·Tomasz Nowicki
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Abstract

We establish $L_q$ convergence for Hamiltonian Monte Carlo algorithms. More specifically, under mild conditions for the associated Hamiltonian motion, we show that the outputs of the algorithms converge (strongly for $2\le q<\infty$ and weakly for $1<q<2$) to the desired target distribution.

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BibTeXRIS

Soumyadip Ghosh, Yingdong Lu, Tomasz Nowicki. 2021-01-21. On $L^q$ Convergence of the Hamiltonian Monte Carlo. https://arxiv.org/abs/2101.08688

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