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Abstract:
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Hamiltonian Monte Carlo (HMC) has become routinely used for sampling from posterior distributions. Its extension Riemann manifold HMC (RMHMC) modifies the proposal kernel through distortion of local distances by a Riemannian metric. The performance depends critically on the choice of metric, with Fisher information providing the standard choice. In this article, we propose a new class of metrics aimed at improving HMC's performance on multi-modal target distributions. We refer to the proposed approach as geometrically tempered HMC (GTHMC) due to its connection to other tempering methods. We establish a geometric theory behind RMHMC to motivate GTHMC and characterize its theoretical properties. Moreover, we develop a novel variable step size integrator for simulating Hamiltonian dynamics to improve on the usual Stormer-Verlet integrator which suffers from numerical instability in GTHMC settings. We illustrate GTHMC through simulations, demonstrating generality and substantial gains over standard HMC implementations in terms of effective sample size.
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