Randomized Runge-Kutta-Nyström Methods for Unadjusted Hamiltonian and Kinetic Langevin Monte Carlo

Abstract

We introduce $5/2$- and $7/2$-order $L^2$-accurate randomized Runge-Kutta-Nyström methods, tailored for approximating Hamiltonian flows within non-reversible Markov chain Monte Carlo samplers, such as unadjusted Hamiltonian Monte Carlo and unadjusted kinetic Langevin Monte Carlo. We establish quantitative $5/2$-order $L^2$-accuracy upper bounds under gradient and Hessian Lipschitz assumptions on the potential energy function. The numerical experiments demonstrate the superior efficiency of the proposed unadjusted samplers on a variety of well-behaved, high-dimensional target distributions.

References in corpus (1)

• Canonical sampling through velocity-rescaling