Tail-Sensitive KL and Rényi Convergence of Unadjusted Hamiltonian Monte Carlo via One-Shot Couplings

Nawaf Bou-Rabee, Siddharth Mitra, Andre Wibisono

Hamiltonian Monte Carlo (HMC) algorithms are among the most widely used sampling methods in high dimensional settings, yet their convergence properties are poorly understood in div…