Optimal Convergence Rate of Hamiltonian Monte Carlo for Strongly Logconcave Distributions.
Zongchen ChenSantosh S. VempalaPublished in: CoRR (2019)
Keyphrases
- monte carlo
- convergence rate
- optimal strategy
- convergence speed
- step size
- learning rate
- markov chain
- importance sampling
- monte carlo simulation
- lp norm
- adaptive sampling
- monte carlo methods
- markovian decision
- monte carlo tree search
- dynamic programming
- particle filter
- temporal difference
- gradient method
- matrix inversion
- worst case
- variance reduction
- numerical stability
- point processes
- confidence intervals
- probability distribution
- bayesian networks