Convergence of the kinetic annealing for general potentials

DOI10.1214/22-EJP891MaRDI QIDQ6373660arXivFDO

Authors Lucas Journel, Pierre Monmarché

Publication date 24 July 2021

Published in arXiv

Full work available at URL https://doi.org/10.1214/22-EJP891

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic programming (90C15)

arXiv classification

math.APmath.PR

Abstract: The convergence of the kinetic Langevin simulated annealing is proven under mild assumptions on the potential $U$ for slow logarithmic cooling schedules. Moreover, non-convergence for fast logarithmic and non-logarithmic cooling schedules is established. The results are based on an adaptation to non-elliptic non-reversible kinetic settings of a localization/local convergence strategy developed by Fournier and Tardif in the overdamped elliptic case, and on precise quantitative high order Sobolev hypocoercive estimates.

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