Convergence of unadjusted Hamiltonian Monte Carlo for mean-field models

Nawaf Bou-Rabee, Katharina Schuh

Published 2020-09-18Version 1

We present dimension-free convergence and discretization error bounds for the unadjusted Hamiltonian Monte Carlo algorithm applied to high-dimensional probability distributions of mean-field type. These bounds require the discretization step to be sufficiently small, but do not require strong convexity of either the unary or pairwise potential terms present in the mean-field model. To handle high dimensionality, our proof uses a particlewise coupling that is contractive in a complementary particlewise metric.