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 -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 energy estimate. Our analysis provides explicit convergence rate estimates, which are more quantitative than existing results.
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