Sampling with Barriers: Faster Mixing via Lewis Weights
share
We analyze Riemannian Hamiltonian Monte Carlo (RHMC) for sampling a polytope defined by m inequalities in ^n endowed with the metric defined by the Hessian of a convex barrier function. The advantage of RHMC over Euclidean methods such as the ball walk, hit-and-run and the Dikin walk is in its ability to take longer steps. However, in all previous work, the mixing rate has a linear dependence on the number of inequalities. We introduce a hybrid of the Lewis weights barrier and the standard logarithmic barrier and prove that the mixing rate for the corresponding RHMC is bounded by Õ(m^1/3n^4/3), improving on the previous best bound of Õ(mn^2/3) (based on the log barrier). This continues the general parallels between optimization and sampling, with the latter typically leading to new tools and more refined analysis. To prove our main results, we have to overcomes several challenges relating to the smoothness of Hamiltonian curves and the self-concordance properties of the barrier. In the process, we give a general framework for the analysis of Markov chains on Riemannian manifolds, derive new smoothness bounds on Hamiltonian curves, a central topic of comparison geometry, and extend self-concordance to the infinity norm, which gives sharper bounds; these properties appear to be of independent interest.
READ FULL TEXT
