Couplings for Multinomial Hamiltonian Monte Carlo

Kai Xu, Tor Erlend Fjelde, Charles Sutton, Hong Ge
Proceedings of The 24th International Conference on Artificial Intelligence and Statistics, PMLR 130:3646-3654, 2021.

Abstract

Hamiltonian Monte Carlo (HMC) is a popular sampling method in Bayesian inference. Recently, Heng & Jacob (2019) studied Metropolis HMC with couplings for unbiased Monte Carlo estimation, establishing a generic parallelizable scheme for HMC. However, in practice a different HMC method, multinomial HMC, is considered as the go-to method, e.g. as part of the no-U-turn sampler. In multinomial HMC, proposed states are not limited to end-points as in Metropolis HMC; instead points along the entire trajectory can be proposed. In this paper, we establish couplings for multinomial HMC, based on optimal transport for multinomial sampling in its transition. We prove an upper bound for the meeting time – the time it takes for the coupled chains to meet – based on the notion of local contractivity. We evaluate our methods using three targets: 1,000 dimensional Gaussians, logistic regression and log-Gaussian Cox point processes. Compared to Heng & Jacob (2019), coupled multinomial HMC generally attains a smaller meeting time, and is more robust to choices of step sizes and trajectory lengths, which allows re-use of existing adaptation methods for HMC. These improvements together paves the way for a wider and more practical use of coupled HMC methods.

Cite this Paper


BibTeX
@InProceedings{pmlr-v130-xu21i, title = { Couplings for Multinomial Hamiltonian Monte Carlo }, author = {Xu, Kai and Fjelde, Tor Erlend and Sutton, Charles and Ge, Hong}, booktitle = {Proceedings of The 24th International Conference on Artificial Intelligence and Statistics}, pages = {3646--3654}, year = {2021}, editor = {Banerjee, Arindam and Fukumizu, Kenji}, volume = {130}, series = {Proceedings of Machine Learning Research}, month = {13--15 Apr}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v130/xu21i/xu21i.pdf}, url = {http://proceedings.mlr.press/v130/xu21i.html}, abstract = { Hamiltonian Monte Carlo (HMC) is a popular sampling method in Bayesian inference. Recently, Heng & Jacob (2019) studied Metropolis HMC with couplings for unbiased Monte Carlo estimation, establishing a generic parallelizable scheme for HMC. However, in practice a different HMC method, multinomial HMC, is considered as the go-to method, e.g. as part of the no-U-turn sampler. In multinomial HMC, proposed states are not limited to end-points as in Metropolis HMC; instead points along the entire trajectory can be proposed. In this paper, we establish couplings for multinomial HMC, based on optimal transport for multinomial sampling in its transition. We prove an upper bound for the meeting time – the time it takes for the coupled chains to meet – based on the notion of local contractivity. We evaluate our methods using three targets: 1,000 dimensional Gaussians, logistic regression and log-Gaussian Cox point processes. Compared to Heng & Jacob (2019), coupled multinomial HMC generally attains a smaller meeting time, and is more robust to choices of step sizes and trajectory lengths, which allows re-use of existing adaptation methods for HMC. These improvements together paves the way for a wider and more practical use of coupled HMC methods. } }
Endnote
%0 Conference Paper %T Couplings for Multinomial Hamiltonian Monte Carlo %A Kai Xu %A Tor Erlend Fjelde %A Charles Sutton %A Hong Ge %B Proceedings of The 24th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2021 %E Arindam Banerjee %E Kenji Fukumizu %F pmlr-v130-xu21i %I PMLR %P 3646--3654 %U http://proceedings.mlr.press/v130/xu21i.html %V 130 %X Hamiltonian Monte Carlo (HMC) is a popular sampling method in Bayesian inference. Recently, Heng & Jacob (2019) studied Metropolis HMC with couplings for unbiased Monte Carlo estimation, establishing a generic parallelizable scheme for HMC. However, in practice a different HMC method, multinomial HMC, is considered as the go-to method, e.g. as part of the no-U-turn sampler. In multinomial HMC, proposed states are not limited to end-points as in Metropolis HMC; instead points along the entire trajectory can be proposed. In this paper, we establish couplings for multinomial HMC, based on optimal transport for multinomial sampling in its transition. We prove an upper bound for the meeting time – the time it takes for the coupled chains to meet – based on the notion of local contractivity. We evaluate our methods using three targets: 1,000 dimensional Gaussians, logistic regression and log-Gaussian Cox point processes. Compared to Heng & Jacob (2019), coupled multinomial HMC generally attains a smaller meeting time, and is more robust to choices of step sizes and trajectory lengths, which allows re-use of existing adaptation methods for HMC. These improvements together paves the way for a wider and more practical use of coupled HMC methods.
APA
Xu, K., Fjelde, T.E., Sutton, C. & Ge, H.. (2021). Couplings for Multinomial Hamiltonian Monte Carlo . Proceedings of The 24th International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 130:3646-3654 Available from http://proceedings.mlr.press/v130/xu21i.html.

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