English

On explicit $L^2$-convergence rate estimate for piecewise deterministic Markov processes in MCMC algorithms

Probability 2022-05-10 v2 Analysis of PDEs Computation

Abstract

We establish L2L^2-exponential convergence rate for three popular piecewise deterministic Markov processes for sampling: the randomized Hamiltonian Monte Carlo method, the zigzag process, and the bouncy particle sampler. Our analysis is based on a variational framework for hypocoercivity, which combines a Poincar\'{e}-type inequality in time-augmented state space and a standard L2L^2 energy estimate. Our analysis provides explicit convergence rate estimates, which are more quantitative than existing results.

Keywords

Cite

@article{arxiv.2007.14927,
  title  = {On explicit $L^2$-convergence rate estimate for piecewise deterministic Markov processes in MCMC algorithms},
  author = {Jianfeng Lu and Lihan Wang},
  journal= {arXiv preprint arXiv:2007.14927},
  year   = {2022}
}

Comments

Under minor revision

R2 v1 2026-06-23T17:29:54.412Z