HMC: Reducing the number of rejections by not using leapfrog and some results on the acceptance rate Articles uri icon

publication date

  • July 2021

start page

  • 1

end page

  • 19

volume

  • 437

International Standard Serial Number (ISSN)

  • 0021-9991

Electronic International Standard Serial Number (EISSN)

  • 1090-2716

abstract

  • The leapfrog integrator is routinely used within the Hamiltonian Monte Carlo method and its variants. We give strong numerical evidence that alternative, easy to implement algorithms yield fewer rejections with a given computational effort. When the dimensionality of the target distribution is high, the number of accepted proposals may be multiplied by a factor of three or more. This increase in the number of accepted proposals is not achieved by impairing any positive features of the sampling. We also establish new non-asymptotic and asymptotic results on the monotonic relationship between the expected acceptance rate and the expected energy error. These results further validate the derivation of one of the integrators we consider and are of independent interest.

keywords

  • expected acceptance rate; expected energy error; hamiltonian monte carlo; numerical integrators