# Implicit Hamiltonian Monte Carlo for Sampling Multiscale Distributions

arXiv: https://arxiv.org/abs/1911.05754 · HTML: https://mlsanity.com/paper/1911.05754/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 2 Nov 2019.

## Built on by (most cited first, 3 of 3)

- [Delayed rejection Hamiltonian Monte Carlo for sampling multiscale distributions](https://mlsanity.com/paper/2110.00610/) (2021)
- [Geometric Ergodicity in Modified Variations of Riemannian Manifold and Lagrangian Monte Carlo](https://mlsanity.com/paper/2301.01409/) (2023)
- [Self-Supervised Laplace Approximation for Bayesian Uncertainty Quantification](https://mlsanity.com/paper/2605.12208/) (2026)

## Abstract (arXiv)

Hamiltonian Monte Carlo (HMC) has been widely adopted in the statistics community because of its ability to sample high-dimensional distributions much more efficiently than other Metropolis-based methods. Despite this, HMC often performs sub-optimally on distributions with high correlations or marginal variances on multiple scales because the resulting stiffness forces the leapfrog integrator in HMC to take an unreasonably small stepsize. We provide intuition as well as a formal analysis showing how these multiscale distributions limit the stepsize of leapfrog and we show how the implicit midpoint method can be used, together with Newton-Krylov iteration, to circumvent this limitation and achieve major efficiency gains. Furthermore, we offer practical guidelines for when to choose between implicit midpoint and leapfrog and what stepsize to use for each method, depending on the distribution being sampled. Unlike previous modifications to HMC, our method is generally applicable to highly non-Gaussian distributions exhibiting multiple scales. We illustrate how our method can provide a dramatic speedup over leapfrog in the context of the No-U-Turn sampler (NUTS) applied to several examples.