Sampling with Riemannian Hamiltonian Monte Carlo in a Constrained Space

Yunbum Kook, YinTat Lee, Ruoqi Shen, Santosh Vempala

Keywords: Sampling, Hamiltonian Monte Carlo

TL;DR: We demonstrate for the first time that ill-conditioned, non-smooth, constrained distributions in very high dimension, can be sampled efficiently in practice, outperforming existing packages by orders of magnitude.

Abstract: We demonstrate for the first time that ill-conditioned, non-smooth, constrained distributions in very high dimension, upwards of 100,000, can be sampled efficiently \emph{in practice}. Our algorithm incorporates constraints into the Riemannian version of Hamiltonian Monte Carlo and maintains sparsity. This allows us to achieve a mixing rate independent of smoothness and condition numbers. On benchmark data sets in systems biology and linear programming, our algorithm outperforms existing packages by orders of magnitude. In particular, we achieve a 1,000-fold speed-up for sampling from the largest published human metabolic network (RECON3D). Our package has been incorporated into a popular Bioinformatics library.