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A complete Hamiltonian flow for a C2 potential preserves energy and phase volume
Statement
Let , let , and let be real symmetric positive definite. Set Assume Countable Choice. Call this vector field complete when the solution through every exists for all . If is complete, it has a unique global flow , which conserves and satisfies Thus it preserves phase-space Lebesgue volume. Completeness is an explicit hypothesis. In particular, if is globally -Lipschitz, then is globally Lipschitz with constant , so the global-existence and stability corollaries apply and
Facts & Assumptions
Given: Countable Choice, , , , the stated complete Hamiltonian vector field, and, for the sufficient condition, a global Lipschitz constant for .
Countable Choice is the set-theoretic assumption used by the C1 change-of-variables theorem. The Axiom of Countable Choice ()
A Euclidean vector field has a unique maximal flow that is jointly ; its time slices have inverse given by the negative-time flow, and its derivative in initial data solves the variational equation. C¹ Euclidean maximal flows, variational dependence and the finite C² upgrade
The total-derivative chain rule gives and differentiates compositions by . The chain rule for total derivatives:
For an invertible differentiable matrix curve , Jacobi's formula is . The determinant differential is at every matrix, and Jacobi's formula holds on the invertible locus
A continuous vector field on with one global state-Lipschitz constant has a unique global solution for every initial condition. A globally state-Lipschitz vector field on has global solutions
Two solutions for a state-Lipschitz field with constant obey . The Grönwall estimate for two solutions of a Lipschitz ODE
SPD has a Cholesky factor with positive diagonal (Hermitian positive-definite matrices and Cholesky factorisation A = LL* with positive diagonal, A matrix admits a Cholesky factorisation with positive diagonal exactly when it is Hermitian positive definite, and that factor is unique); triangular determinants multiply the diagonal entries, determinants are multiplicative, and a real square matrix with nonzero determinant is invertible (The determinant of a triangular matrix is the product of its diagonal entries, For same-sized finite square matrices over a commutative ring, , A finite square real matrix is invertible if and only if its determinant is nonzero).
Under Countable Choice, a diffeomorphism between open Euclidean sets satisfies the change-of-variables formula for every nonnegative Lebesgue-measurable function. A C^1 diffeomorphism satisfies the change-of-variables formula for nonnegative Lebesgue measurable functions
The Euclidean gradient is the transpose-Jacobian convention, so makes a field with . The Jacobian matrix of partial derivatives and the gradient in the scalar-valued case
Proof
By [F7], where is lower triangular with strictly positive diagonal. Thus is the positive product of its diagonal entries, and ; [F7] implies that is invertible, so is well-defined and symmetric. Since , [F9] makes a vector field. By [F1] it has a unique maximal flow, and completeness as defined in the Statement makes every time slice global with inverse . Differentiating by [F2] shows is invertible. The derivative satisfies by [F1].
Along a solution , [F2] and the displayed Hamilton equations give where symmetry of identifies the derivative of the kinetic energy. Hence .
Suppose is globally -Lipschitz. For and , [F6] gives Thus the time-independent field on has global state-Lipschitz constant .
By [F9], the variational matrix is whose trace is zero. Since is invertible by step 1.1, [F3] and the finite-sum trace identity give Since , , so for all .
Apply [F4] to obtain completeness and uniqueness in this globally Lipschitz case, and apply [F5] with the same to obtain the stated Gronwall stability estimate. This supplies a sufficient condition; no completeness is inferred from merely local Lipschitz continuity of .
For each , step 1.1 makes a global diffeomorphism. For any Lebesgue-measurable , apply [F8] to and use step 2.1 to get . Hence the exact flow preserves phase-space Lebesgue volume.
Remarks
Energy conservation and phase-volume preservation here concern the exact ODE flow. They do not assert that a finite leapfrog map conserves .
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 Axiom of Countable Choice ($\mathrm{AC}_\omega$)
- Hermitian positive-definite matrices and Cholesky factorisation A = LL* with positive diagonal
- The Jacobian matrix of partial derivatives and the gradient in the scalar-valued case
- C¹ Euclidean maximal flows, variational dependence and the finite C² upgrade
- Cauchy-Schwarz $\lvert\langle x,y\rangle\rvert \le \lVert x\rVert_2\lVert y\rVert_2$ with its equality case, the triangle inequality for $\lVert\cdot\rVert_2$, the parallelogram law and polarisation
- The chain rule for total derivatives: $D(g\circ f)(a)=Dg(f(a))\circ Df(a)$
- A C^1 diffeomorphism satisfies the change-of-variables formula for nonnegative Lebesgue measurable functions
- The determinant differential is $D\det(A)[H]=\operatorname{tr}(\operatorname{adj}(A)H)$ at every matrix, and Jacobi's formula holds on the invertible locus
- For same-sized finite square matrices over a commutative ring, $\det(AB)=\det(A)\det(B)$
- The determinant of a triangular matrix is the product of its diagonal entries
- A finite square real matrix is invertible if and only if its determinant is nonzero
- A matrix admits a Cholesky factorisation with positive diagonal exactly when it is Hermitian positive definite, and that factor is unique
Used by
- Hamiltonian Monte Carlo Definition
- A globally Lipschitz Hamiltonian force Example
- The exact-flow Hamiltonian Monte Carlo limit Example
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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)