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Maximum Conditional Entropy Hamiltonian Monte Carlo Sampler 72

Bc94bb8d180a9bdb9b29d8a950f060b6d93a8b6a

Speaker

Jinglai Li, University of Birmingham

Time

2020.06.10 14:00-15:00

Venue

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ZOOM Info

Conference ID: 671-001-08690‬

PIN Code: 680064

Abstract

The performance of Hamiltonian Monte Carlo (HMC) sampler depends critically on some algorithm parameters such as the total integration time and the numerical integration stepsize. The parameter tuning is particularly challenging when the mass matrix of the HMC sampler is adapted. We propose in this work a Kolmogorov-Sinai entropy (KSE) based design criterion to optimize these algorithm parameters, which can avoid some potential issues in the often used jumping-distance based measures. For near-Gaussian distributions, we are able to derive the optimal algorithm parameters with respect to the KSE criterion analytically. As a byproduct the KSE criterion also provides a theoretical justification for the need to adapt the mass matrix in HMC sampler. Based on the results, we propose an adaptive HMC algorithm, and we then demonstrate the performance of the proposed algorithm with numerical examples.

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