The Department of Mathematical Sciences will host Dr. Stefan Oberdörster of the University of Bonn in Germany, for its math seminar series. Dr. Oberdörster will present, “Metropolized Hamiltonian Monte Carlo on highdimensional Gaussian Targets.” The free seminar will take place on Friday, March 24, at 12 p.m. in BSB 132.
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).