Unbiased constrained sampling with Self-Concordant Barrier Hamiltonian Monte Carlo

Noble Maxence, Ecole Polytechnique
Durmus Alain, Ecole Polytechnique

In this paper, we propose Barrier Hamiltonian Monte Carlo (BHMC), a version of the HMC algorithm which aims at sampling from a Gibbs distribution p on a manifold M, endowed with a Hessian metric g derived from a self-concordant barrier. Our method relies on Hamiltonian dynamics which comprises g. Therefore, it incorporates the constraints defining M and is able to exploit its underlying geometry. However, the corresponding Hamiltonian dynamics is defined via non separable Ordinary Differential Equations (ODEs) in contrast to the Euclidean case. It implies unavoidable bias in existing generalization of HMC to Riemannian manifolds. In this paper, we propose a new filter step, called ``involution checking step'', to address this problem. This step is implemented in two versions of BHMC, coined continuous BHMC (c-BHMC) and numerical BHMC (n-BHMC) respectively. Our main results establish that these two new algorithms generate reversible Markov chains with respect to p and do not suffer from any bias in comparison to previous implementations. Our conclusions are supported by numerical experiments where we consider target distributions defined on polytopes.

Area: CS36 - Monte Carlo methods and Applications II (Francesca R Crucinio, Alessandra Iacobucci, Andrea Bertazzi)

Keywords: constrained sampling; Riemannian Hamiltonian Monte Carlo; self-concordance

Il paper è coperto da copyright.