Optimal Convergence Rate of Hamiltonian Monte Carlo for Strongly Logconcave Distributions.
Zongchen ChenSantosh S. VempalaPublished in: Theory Comput. (2022)
Keyphrases
- monte carlo
- convergence rate
- optimal strategy
- convergence speed
- learning rate
- step size
- monte carlo simulation
- lp norm
- importance sampling
- monte carlo methods
- adaptive sampling
- markov chain
- dynamic programming
- markovian decision
- probability distribution
- particle filter
- monte carlo tree search
- faster convergence rate
- gradient method
- numerical stability
- optimal solution
- confidence intervals
- optimal control
- game tree
- variance reduction
- matrix inversion
- worst case
- least squares