When does Metropolized Hamiltonian Monte Carlo provably outperform Metropolis-adjusted Langevin algorithm?

Yuansi Chen, Khashayar Gatmiry, Minhui Jiang

We analyze the mixing time of Metropolized Hamiltonian Monte Carlo (HMC) with the leapfrog integrator to sample from a distribution on ${\mathbb{R}}^d$ whose log-density is smooth, h…