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CCM Colloquium: Nawaf Bou-Rabee (Rutgers University)

Event

Computational Mathematics

When

February 22, 2023
10–11 a.m. ET
February 23, 2023
All Day
February 24, 2023
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February 25, 2023
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March 1, 2023
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March 2, 2023
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March 3, 2023
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March 4, 2023
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March 5, 2023
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March 6, 2023
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March 7, 2023
10–11 a.m. ET

Where

162 Fifth Avenue, 3rd Floor Classroom

160 Fifth Avenue

NY, United States

Title: Adjustable Randomized Time Integrators for Hamiltonian Monte Carlo

Abstract: Hamiltonian Monte Carlo is a gradient-based Metropolis-Hastings algorithm with a proposal distribution that involves ceil(T/h) steps of a time integrator of Hamiltonian dynamics; where T and h are the duration and time-step-size hyperparameters. Here we show how to incorporate time integrator randomization into the proposal distribution and present L^2 Wasserstein mixing time guarantees for the corresponding unadjusted algorithm. These guarantees illustrate the potential role of time integrator randomization in HMC.

12–1:30 p.m. ET

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CCM Colloquium: Nawaf Bou-Rabee (Rutgers University)

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