Two-scale coupling for preconditioned Hamiltonian Monte Carlo in infinite dimensions

Nawaf Bou-Rabee, Andreas Eberle

Published 2019-09-17Version 1

We derive non-asymptotic quantitative bounds for convergence to equilibrium of the exact preconditioned Hamiltonian Monte Carlo algorithm (pHMC) on a Hilbert space. As a consequence, explicit and dimension-free bounds for pHMC applied to high-dimensional distributions arising in transition path sampling and path integral molecular dynamics are given. Global convexity of the underlying potential energies is not required. Our results are based on a two-scale coupling which is contractive in a carefully designed distance.