Improving sampling efficacy on high dimensional distributions with thin high density regions using Conservative Hamiltonian Monte Carlo

Abstract: Hamiltonian Monte Carlo is a prominent Markov Chain Monte Carlo algorithm, which employs symplectic integrators to sample from high dimensional target distributions in many applications, such as statistical mechanics, Bayesian statistics and generative models. However, such distributions tend to have thin high density regions, posing a significant challenge for symplectic integrators to maintain the small energy errors needed for a high acceptance probability. Instead, we propose a variant called Conservative Hamiltonian Monte Carlo, using $R$--reversible energy-preserving integrators to retain a high acceptance probability. We show our algorithm can achieve approximate stationarity with an error determined by the Jacobian approximation of the energy-preserving proposal map. Numerical evidence shows improved convergence and robustness over integration parameters on target distributions with thin high density regions and in high dimensions. Moreover, a version of our algorithm can also be applied to target distributions without gradient information.