Jonathan Niles-Weed

Delocalization of bias in unadjusted Hamiltonian Monte Carlo and underdamped Langevin

Yifan Chen, Xiaoou Cheng, Jonathan Niles-Weed, Jonathan Weare

Unadjusted samplers such as unadjusted Hamiltonian Monte Carlo and underdamped Langevin are well-known to be biased. Metropolis--Hastings adjustment has been conventionally incorporated into Hamiltonian Monte Carlo to eliminate the bias. However, this adjustment can significantly…Read more