Spectral asymptotics for Metropolis algorithm on singular domains
Analysis of PDEs
2021-04-19 v1 Probability
Spectral Theory
Abstract
We study the Metropolis algorithm on a bounded connected domain of the euclidean space with proposal kernel localized at a small scale . We consider the case of a domain that may have cusp singularities. For small values of the parameter we prove the existence of a spectral gap and study the behavior of when goes to zero. As a consequence, we obtain exponentially fast return to equilibrium in total variation distance.
Keywords
Cite
@article{arxiv.2104.07943,
title = {Spectral asymptotics for Metropolis algorithm on singular domains},
author = {Laurent Michel},
journal= {arXiv preprint arXiv:2104.07943},
year = {2021}
}