Math Seminar: Metropolized Hamiltonian Monte Carlo on highdimensional Gaussian Targets
Dr. Stefan Oberdörster, University of Bonn, Germany
Friday, March 24, 2023
12-1 PM in BSB132
In this talk, we will discuss recent developments regarding the convergence of Metropolis-adjusted Hamiltonian Monte Carlo on Gaussian target distributions. These targets stand out amongst the strongly log-concave distributions due to their analytical feasibility. Based on coupling techniques, we show contractivity in a specially designed Wasserstein distance. This yields upper mixing time bounds with respect to total variation that are dimensionally tight for cold start by a conductance argument.
Joint work with Nawaf Bou-Rabee (Rutgers) and Andreas Eberle (Bonn).