arXiv:2601.09019stat.MLcs.LG2026-01被引 1

提升无调整哈密顿蒙特卡洛的收敛性分析,更精准控制采样误差。

Tail-Sensitive KL and Rényi Convergence of Unadjusted Hamiltonian Monte Carlo via One-Shot Couplings

  • 用单次耦合方法分析uHMC,揭示其平滑核特性
  • 将Wasserstein收敛结果升级到尾部敏感的KL与Rényi散度
  • 适合关注采样精度和冷启动设计的研究者

哈密顿蒙特卡洛(HMC)是高维采样中广泛使用的方法,但其在衡量相对密度偏差的散度(如KL与Rényi散度)下的收敛性质仍不明确。这些散度直接影响马尔可夫链的接受概率和冷启动要求。本文提出一种框架,将无调整哈密顿蒙特卡洛(uHMC)的Wasserstein收敛保证推广至尾部敏感的KL与Rényi散度。方法基于单次耦合,揭示uHMC转移核具有正则化性质。该性质使Wasserstein-2混合时间与渐近偏差界可推广至KL散度,类似地,Orlicz-Wasserstein界可推广至Rényi散度,类比于Bou-Rabee与Eberle(2023)将Wasserstein-1界升级至总变差距离的工作。结果实现了对相对密度偏差的定量控制,澄清了离散化偏差在强散度中的作用,并为无调整采样及马尔可夫链冷启动提供了理论保障。

原文摘要 · Abstract (English)

Hamiltonian Monte Carlo (HMC) algorithms are among the most widely used sampling methods in high dimensional settings, yet their convergence properties are poorly understood in divergences that quantify relative density mismatch, such as Kullback-Leibler (KL) and Rényi divergences. These divergences naturally govern acceptance probabilities and warm-start requirements for Metropolis-adjusted Markov chains. In this work, we develop a framework for upgrading Wasserstein convergence guarantees for unadjusted Hamiltonian Monte Carlo (uHMC) to guarantees in tail-sensitive KL and Rényi divergences. Our approach is based on one-shot couplings, which we use to establish a regularization property of the uHMC transition kernel. This regularization allows Wasserstein-2 mixing-time and asymptotic bias bounds to be lifted to KL divergence, and analogous Orlicz-Wasserstein bounds to be lifted to Rényi divergence, paralleling earlier work of Bou-Rabee and Eberle (2023) that upgrade Wasserstein-1 bounds to total variation distance via kernel smoothing. As a consequence, our results provide quantitative control of relative density mismatch, clarify the role of discretization bias in strong divergences, and yield principled guarantees relevant both for unadjusted sampling and for generating warm starts for Metropolis-adjusted Markov chains.

蒙特卡洛收敛分析采样算法

Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。