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A globally Lipschitz Hamiltonian force
Example
Take , , and . This gives a proper target, a globally -Lipschitz force, and a complete exact Hamiltonian flow with the Gronwall stability estimate from A complete Hamiltonian flow for a C2 potential preserves energy and phase volume.
Facts & Assumptions
Given: AC, , unit mass, and the one-dimensional Euclidean metric.
The HMC target is and its Hamiltonian vector field is . Hamiltonian Monte Carlo
A globally state-Lipschitz ODE vector field has a unique global solution. A globally state-Lipschitz vector field on has global solutions
Solutions of a state-Lipschitz ODE obey the Gronwall stability estimate. The Grönwall estimate for two solutions of a Lipschitz ODE
Under Countable Choice, a complete Hamiltonian flow preserves and phase volume; a globally Lipschitz gradient gives the stated sufficient completeness and stability bound. A complete Hamiltonian flow for a C2 potential preserves energy and phase volume
If a function is continuous on a closed interval and differentiable on its interior, its derivative at some interior point equals the average rate of change. The mean value theorem, as the case of Cauchy's: for continuous on with and differentiable on there is with
AC implies Countable Choice, the axiom required for the exact-flow volume result. AC supplies countable selections and prescribed serial paths
Under Countable Choice, the function is nonnegative, measurable, and Lebesgue integrable. The real-line exponential tail is Lebesgue integrable
The exponential is positive and strictly increasing; under Countable Choice, the measure of is its length . The exponential is positive and satisfies , The exponential function is strictly increasing, A box in with parameters is Lebesgue measurable of measure , whichever of its faces are included
For nonnegative measurable functions, the nonnegative integral is monotone under pointwise domination. Monotonicity and nonnegative homogeneity of the nonnegative integral
On a measure space, for nonnegative measurable and measurable , . If on , monotonicity and the simple-function definition give . Integral over a measurable subset, Monotonicity and nonnegative homogeneity of the nonnegative integral, The integral of a nonnegative simple function
Proof
For , , so monotonicity of the exponential gives ; [F8]–[F10] imply For all , , hence ; by [F6] AC supplies the Countable Choice required by [F7], and [F9] gives . Differentiating gives Applying [F5] to , which is continuous on each closed interval and differentiable on its interior, the bound makes globally -Lipschitz.
For and , Thus the Hamiltonian vector field is globally -Lipschitz.
Apply [F2] to obtain the unique global flow. Since , [F4] and its Countable Choice hypothesis supplied by [F6] give energy and volume preservation; its sufficient-condition bound has .
Applying [F3] with the same constant gives for every pair of initial states and every real . This is a flow-stability bound, not a discretization-error estimate.
Depends on
- A globally state-Lipschitz vector field on $\mathbb R\times\mathbb R^n$ has global solutions
- The Grönwall estimate for two solutions of a Lipschitz ODE
- The mean value theorem, as the case $g(x) = x$ of Cauchy's: for $f$ continuous on $[a,b]$ with $a < b$ and differentiable on $(a,b)$ there is $c \in (a,b)$ with $f(b) - f(a) = f'(c)(b-a)$
- The Axiom of Choice
- Hamiltonian Monte Carlo
- The integral of a nonnegative simple function
- Integral over a measurable subset
- AC supplies countable selections and prescribed serial paths
- The real-line exponential tail is Lebesgue integrable
- Monotonicity and nonnegative homogeneity of the nonnegative integral
- The exponential is positive and satisfies $\exp(-x)=1/\exp(x)$
- The exponential function is strictly increasing
- A box in $\mathbb{R}^n$ with parameters $a_i\le b_i$ is Lebesgue measurable of measure $\prod_{i<n}(b_i-a_i)$, whichever of its faces are included
- A complete Hamiltonian flow for a C2 potential preserves energy and phase volume
Used by
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Sources
- Radford M. Neal, MCMC Using Hamiltonian Dynamics, Handbook of Markov Chain Monte Carlo, Chapter 5 (standard reference, not scraped)
- Michael Betancourt, A Conceptual Introduction to Hamiltonian Monte Carlo (standard reference, not scraped)