Infinite dimensional piecewise deterministic Markov processes

DOI10.1016/J.SPA.2023.08.010MaRDI QIDQ6056575zbMATH OpenOpenAlexFDO

Authors Paul W. Dobson, Joris Bierkens

Publication date 30 October 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2205.11452

zbMATH Keywords

hypocoercivityinfinite dimensional stochastic processpiecewise deterministic Markov processesuniform in time approximation

Mathematics Subject Classification ID

PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Computational methods in Markov chains (60J22) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05)

Abstract: In this paper we aim to construct infinite dimensional versions of well established Piecewise Deterministic Monte Carlo methods, such as the Bouncy Particle Sampler, the Zig-Zag Sampler and the Boomerang Sampler. In order to do so we provide an abstract infinite-dimensional framework for Piecewise Deterministic Markov Processes (PDMPs) with unbounded event intensities. We further develop exponential convergence to equilibrium of the infinite dimensional Boomerang Sampler, using hypocoercivity techniques. Furthermore we establish how the infinite dimensional Boomerang Sampler admits a finite dimensional approximation, rendering it suitable for computer simulation.

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Cited in

(11)

• Piecewise deterministic Markov processes and their invariant measures
• Cores for piecewise-deterministic Markov processes used in Markov chain Monte Carlo
• High-dimensional scaling limits of piecewise deterministic sampling algorithms
• Sticky PDMP samplers for sparse and local inference problems
• A short introduction to piecewise deterministic Markov samplers
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• scientific article; zbMATH DE number 1501831 (Why is no real title available?)
• Multiscale Piecewise Deterministic Markov Process in infinite dimension: central limit theorem and Langevin approximation
• A Markov process for a continuum infinite particle system with attraction
• Debiasing piecewise deterministic Markov process samplers using couplings

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