Geometric ergodicity of the bouncy particle sampler

DOI10.1214/19-AAP1552zbMATH Open1472.60118arXiv1807.05401MaRDI QIDQ2657933FDOQ2657933

Pierre Monmarché, Alain Durmus, Arnaud Guillin

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: The Bouncy Particle Sampler (BPS) is a Monte Carlo Markov Chain algorithm to sample from a target density known up to a multiplicative constant. This method is based on a kinetic piecewise deterministic Markov process for which the target measure is invariant. This paper deals with theoretical properties of BPS. First, we establish geometric ergodicity of the associated semi-group under weaker conditions than in [10] both on the target distribution and the velocity probability distribution. This result is based on a new coupling of the process which gives a quantitative minorization condition and yields more insights on the convergence. In addition, we study on a toy model the dependency of the convergence rates on the dimension of the state space. Finally, we apply our results to the analysis of simulated annealing algorithms based on BPS.

Full work available at URL: https://arxiv.org/abs/1807.05401

zbMATH Keywords

simulated annealingMCMCcouplinggeometric ergodicitybouncy particle sampler

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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