Optimal Convergence Rate of Hamiltonian Monte Carlo for Strongly Logconcave Distributions.
Zongchen ChenSantosh S. VempalaPublished in: APPROX-RANDOM (2019)
Keyphrases
- monte carlo
- convergence rate
- optimal strategy
- convergence speed
- step size
- markov chain
- learning rate
- importance sampling
- monte carlo methods
- monte carlo simulation
- lp norm
- markovian decision
- monte carlo tree search
- particle filter
- numerical stability
- gradient method
- point processes
- matrix inversion
- transition probabilities
- markov chain monte carlo
- confidence intervals
- variance reduction
- global illumination
- optimal solution
- optimal control
- mean shift
- linear programming
- faster convergence rate
- quasi monte carlo
- probability distribution