Positive Curvature and Hamiltonian Monte Carlo

Abstract

The Jacobi metric introduced in mathematical physics can be used to analyze Hamiltonian Monte Carlo (HMC). In a geometrical setting, each step of HMC corresponds to a geodesic on a Riemannian manifold with a Jacobi metric. Our calculation of the sectional curvature of this HMC manifold allows us to see that it is positive in cases such as sampling from a high dimensional multivariate Gaus-sian. We show that positive curvature can be used to prove theoretical concentra-tion results for HMC Markov chains. 1