Affiliation:
1. Institute of Mathematics, Universität Potsdam , Karl-Liebknecht-Straße 24-25, 14476 Potsdam, Germany
Abstract
Abstract
In this article, we consider the preconditioned Hamiltonian Monte Carlo (pHMC) algorithm defined directly on an infinite-dimensional Hilbert space. In this context, and under a condition reminiscent of strong log-concavity of the target measure, we prove convergence bounds for adjusted pHMC in the standard 1-Wasserstein distance. The arguments rely on a synchronous coupling of two copies of pHMC, which is controlled by adapting elements from Bou-Rabee, Eberle and Zimmer (2020).
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Computational Mathematics,General Mathematics
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