English

Uniform minorization condition and convergence bounds for discretizations of kinetic Langevin dynamics

Probability 2023-04-24 v3 Numerical Analysis Numerical Analysis Computation

Abstract

We study the convergence in total variation and VV-norm of discretization schemes of the underdamped Langevin dynamics. Such algorithms are very popular and commonly used in molecular dynamics and computational statistics to approximatively sample from a target distribution of interest. We show first that, for a very large class of schemes, a minorization condition uniform in the stepsize holds. This class encompasses popular methods such as the Euler-Maruyama scheme and the schemes based on splitting strategies. Second, we provide mild conditions ensuring that the class of schemes that we consider satisfies a geometric Foster--Lyapunov drift condition, again uniform in the stepsize. This allows us to derive geometric convergence bounds, with a convergence rate scaling linearly with the stepsize. This kind of result is of prime interest to obtain estimates on norms of solutions to Poisson equations associated with a given numerical method.

Keywords

Cite

@article{arxiv.2107.14542,
  title  = {Uniform minorization condition and convergence bounds for discretizations of kinetic Langevin dynamics},
  author = {Alain Durmus and Aurélien Enfroy and Éric Moulines and Gabriel Stoltz},
  journal= {arXiv preprint arXiv:2107.14542},
  year   = {2023}
}