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arXiv:2209.12771

Hamiltonian Monte Carlo for efficient Gaussian sampling: long and random steps

Simon Apers, Sander Gribling, Dániel Szilágyi

Published Sep 26, 2022• 2 citations
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Abstract

Hamiltonian Monte Carlo (HMC) is a Markov chain algorithm for sampling from a high-dimensional distribution with density $e^{-f(x)}$, given access to the gradient of $f$. A particular case of interest is that of a $d$-dimensional Gaussian distribution with covariance matrix $Σ$, in which case $f(x) = x^\top Σ^{-1} x$. We show that HMC can sample from a distribution that is $\varepsilon$-close in total variation distance using $\widetilde{O}(\sqrtκ d^{1/4} \log(1/\varepsilon))$ gradient queries, where $κ$ is the condition number of $Σ$. Our algorithm uses long and random integration times for the Hamiltonian dynamics. This contrasts with (and was motivated by) recent results that give an $\widetildeΩ(κd^{1/2})$ query lower bound for HMC with fixed integration times, even for the Gaussian case.

DOI
10.48550/arxiv.2209.12771

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Hamiltonian Monte Carlo (HMC) is a Markov chain algorithm for sampling from a high-dimensional distribution with density e−f(x)e^{-f(x)}e−f(x), given access to the gradient of fff. A particular case of interest is that of a ddd-dimensional Gaussian distribution with covariance matrix ΣΣΣ, in which case f(x)=x⊤Σ−1xf(x) = x^\top Σ^{-1} xf(x)=x⊤Σ−1x. We show that HMC can sample from a distribution that is ε\varepsilonε-close in total variation distance using O~(κd1/4log⁡(1/ε))\widetilde{O}(\sqrtκ d^{1/4} \log(1/\varepsilon))O(κ​d1/4log(1/ε)) gradient queries, where κκκ is the condition number of ΣΣΣ. Our algorithm uses long and random integration times for the Hamiltonian dynamics. This contrasts with (and was motivated by) recent results that give an Ω~(κd1/2)\widetildeΩ(κd^{1/2})Ω(κd1/2) query lower bound for HMC with fixed integration times, even for the Gaussian case.
One of the open challenges in quantum computing is to find meaningful and practical methods to leverage quantum computation to accelerate classical machine-learning workflows. A ubiquitous problem in machine-learning workflows is sampling from probability distributions that we only have access to via their log probability. To this end, we extend the well-known Hamiltonian Monte Carlo (HMC) method for Markov chain Monte Carlo (MCMC) sampling to leverage quantum computation in a hybrid manner as a proposal function. Our new algorithm, Quantum Dynamical Hamiltonian Monte Carlo (QD-HMC), replaces the classical symplectic integration proposal step with simulations of quantum-coherent continuous-space dynamics on digital or analog quantum computers. We show that QD-HMC maintains key characteristics of HMC, such as maintaining the detailed balanced condition with momentum inversion, while also having the potential for polynomial speedups over its classical counterpart in certain scenarios. As sampling is a core subroutine in many forms of probabilistic inference, and MCMC in continuously parametrized spaces covers a large class of potential applications, this work widens the areas of applicability of quantum devices. Published by the American Physical Society 2024
High-quality random samples of quantum states are needed for a variety of tasks in quantum information and quantum computation. Searching the high-dimensional quantum state space for a global maximum of an objective function with many local maxima or evaluating an integral over a region in the quantum state space are but two exemplary applications of many. These tasks can only be performed reliably and efficiently with Monte Carlo methods, which involve good samplings of the parameter space in accordance with the relevant target distribution. We show how the Markov-chain Monte Carlo method known as Hamiltonian Monte Carlo, or hybrid Monte Carlo, can be adapted to this context. It is applicable when an efficient parameterization of the state space is available. The resulting random walk is entirely inside the physical parameter space, and the Hamiltonian dynamics enable us to take big steps, thereby avoiding strong correlations between successive sample points while enjoying a high acceptance rate. We use examples of single and double qubit measurements for illustration.
Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition functions. In this work, we describe a quantum algorithm which can accelerate Monte Carlo methods in a very general setting. The algorithm estimates the expected output value of an arbitrary randomized or quantum subroutine with bounded variance, achieving a near-quadratic speedup over the best possible classical algorithm. Combining the algorithm with the use of quantum walks gives a quantum speedup of the fastest known classical algorithms with rigorous performance bounds for computing partition functions, which use multiple-stage Markov chain Monte Carlo techniques. The quantum algorithm can also be used to estimate the total variation distance between probability distributions efficiently.
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The variational quantum Monte Carlo (VQMC) method received significant attention in the recent past because of its ability to overcome the curse of dimensionality inherent in many-body quantum systems. Close parallels exist between VQMC and the emerging hybrid quantum-classical computational paradigm of variational quantum algorithms. VQMC overcomes the curse of dimensionality by performing alternating steps of Monte Carlo sampling from a parametrized quantum state followed by gradient-based optimization. While VQMC has been applied to solve high-dimensional problems, it is known to be difficult to parallelize, primarily owing to the Markov Chain Monte Carlo (MCMC) sampling step. In this work, we explore the scalability of VQMC when autoregressive models, with exact sampling, are used in place of MCMC. This approach can exploit distributed-memory, shared-memory and/or GPU parallelism in the sampling task without any bottlenecks. In particular, we demonstrate GPU-scalability of VQMC for solving up to ten-thousand dimensional combinatorial optimization problems.