Subgeometric hypocoercivity for piecewise-deterministic Markov process Monte Carlo methods

DOI10.1214/21-EJP643MaRDI QIDQ2042789zbMATH OpenOpenAlexFDO

Authors Christophe Andrieu, Andi Q. Wang, Paul W. Dobson

Publication date 21 July 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.09341

zbMATH Keywords

hypocoercivityMarkov chain Monte Carlopiecewise-deterministic Markov processsubgeometric convergence

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05)

Abstract: We extend the hypocoercivity framework for piecewise-deterministic Markov process (PDMP) Monte Carlo established in [Andrieu et. al. (2018)] to heavy-tailed target distributions, which exhibit subgeometric rates of convergence to equilibrium. We make use of weak Poincar'e inequalities, as developed in the work of [Grothaus and Wang (2019)], the ideas of which we adapt to the PDMPs of interest. On the way we report largely potential-independent approaches to bounding explicitly solutions of the Poisson equation of the Langevin diffusion and its first and second derivatives, required here to control various terms arising in the application of the hypocoercivity result.

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Cited in

(12)

• Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains
• Cores for piecewise-deterministic Markov processes used in Markov chain Monte Carlo
• On explicit \(L^2\)-convergence rate estimate for piecewise deterministic Markov processes in MCMC algorithms
• Hypocoercivity of piecewise deterministic Markov process-Monte Carlo
• A note on the polynomial ergodicity of the one-dimensional Zig-Zag process
• Infinite dimensional piecewise deterministic Markov processes
• Speed up Zig-Zag
• Polynomial convergence rates of piecewise deterministic Markov processes
• Strong invariance principles for ergodic Markov processes
• Speeding up the zig-zag process
• L^2-exponential ergodicity of stochastic Hamiltonian systems with -stable Lévy noises
• Stereographic Markov chain Monte Carlo

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