Semi-classical analysis of a random walk on a manifold

DOI10.1214/09-AOP483MaRDI QIDQ2268701zbMATH OpenOpenAlexFDO

Authors Gilles Lebeau, Laurent Michel

Publication date 8 March 2010

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

Full work available at URL https://arxiv.org/abs/0802.0644

zbMATH Keywords

eigenvaluesMarkov chainMetropolis algorithmrandom walkRiemannian manifoldsemi-classical analysisspectral theory

Mathematics Subject Classification ID

Pseudodifferential operators as generalizations of partial differential operators (35S05) Diffusion processes and stochastic analysis on manifolds (58J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We prove a sharp rate of convergence to stationarity for a natural random walk on a compact Riemannian manifold $(M,g)$. The proof includes a detailed study of the spectral theory of the associated operator.

Review text

The authors study the spectral theory of a Markov chain associated to a natural random walk on a compact connected Riemannian manifold \((M,g)\). The natural random walk is described as a ``ball walk on \((M,g)\), where from \(x\), the walk jumps to a uniformly chosen point in a ball of radius \(h\) around the point \(x\). The authors prove a precise Weyl-type estimate on the number of eigenvalues close to \(1\). The second contribution of the authors is the analysis of the associated Metropolis algorithm. The main contribution of this paper is the use of the micro-local analysis as a mean for studying rates of convergence for a Markov chain.

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Cited in

(22)

• Micro-local analysis for the Metropolis algorithm
• Rapid mixing of geodesic walks on manifolds with positive curvature
• A geometric heat-flow theory of Lagrangian coherent structures
• Spectral aspects of the Berezin transform
• Spectral stability of metric-measure Laplacians
• Intrinsic random walks and sub-Laplacians in sub-Riemannian geometry
• Spectral analysis of random walk operators on Euclidean space
• Randomized interior point methods for sampling and optimization
• Approximations of the connection Laplacian spectra
• The Markov chain Monte Carlo revolution
• Random walks and approximate integration on compact homogeneous spaces
• scientific article; zbMATH DE number 1314821 (Why is no real title available?)
• Gibbs/Metropolis algorithms on a convex polytope
• Intrinsic random walks in Riemannian and sub-Riemannian geometry via volume sampling
• Dynamical behaviour of a statistical manifold associated with correlated walks
• Spectral analysis of hypoelliptic random walks
• Random walk on surfaces with hyperbolic cusps
• Quantization of symplectic fibrations and canonical metrics
• Harnack inequalities and Gaussian estimates for random walks on metric measure spaces
• Geometric analysis for the Metropolis algorithm on Lipschitz domains
• Maximal multiplicity of Laplacian eigenvalues in negatively curved surfaces
• Spectral analysis of a semiclassical random walk associated to a general confining potential

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