On explicit $L^2$-convergence rate estimate for underdamped Langevin dynamics
Analysis of PDEs
2023-08-25 v7 Probability
Abstract
We provide a refined explicit estimate of exponential decay rate of underdamped Langevin dynamics in distance, based on a framework developed in [1]. To achieve this, we first prove a Poincar\'{e}-type inequality with Gibbs measure in space and Gaussian measure in momentum. Our estimate provides a more explicit and simpler expression of decay rate; moreover, when the potential is convex with Poincar\'{e} constant , our estimate shows the decay rate of after optimizing the choice of friction coefficient, which is much faster than for the overdamped Langevi dynamics.
Cite
@article{arxiv.1908.04746,
title = {On explicit $L^2$-convergence rate estimate for underdamped Langevin dynamics},
author = {Yu Cao and Jianfeng Lu and Lihan Wang},
journal= {arXiv preprint arXiv:1908.04746},
year = {2023}
}
Comments
Minor changes, to appear in Archive for Rational Mechanics and Analysis