RT info:eu-repo/semantics/article
T1 HMC: Reducing the number of rejections by not using leapfrog and some results on the acceptance rate
A1 Calvo Cabrero, María Paz
A1 Sanz Serna, Jesús María
A1 Sanz-Alonso, Daniel
K1 Hamiltonian Monte Carlo
K1 Numerical integrators
K1 Expected acceptance rate
K1 Expected energy error
K1 12 Matemáticas
AB The leapfrog integrator is routinely used within the Hamiltonian Monte Carlo method and its variants. We give strong numerical evidence that alternative, easy to implement algo-rithms yield fewer rejections with a given computational effort. When the dimensionality of the target distribution is high, the number of accepted proposals may be multiplied by a factor of three or more. This increase in the number of accepted proposals is not achieved by impairing any positive features of the sampling. We also establish new non-asymptotic and asymptotic results on the monotonic relationship between the expected acceptance rate and the expected energy error. These results further validate the derivation of one of the integrators we consider and are of independent interest.
PB Elsevier
SN 0021-9991
YR 2021
FD 2021
LK https://uvadoc.uva.es/handle/10324/81820
UL https://uvadoc.uva.es/handle/10324/81820
LA eng
NO Journal of Computational Physics, 2021, vol. 437, 110333
DS UVaDOC
RD 19-ene-2026