Math @ Duke
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Publications [#363886] of Jianfeng Lu
Papers Published
- Lu, J; Wang, L, ON EXPLICIT L2-CONVERGENCE RATE ESTIMATE FOR PIECEWISE DETERMINISTIC MARKOV PROCESSES IN MCMC ALGORITHMS,
Annals of Applied Probability, vol. 32 no. 2
(April, 2022),
pp. 1333-1361 [doi]
(last updated on 2024/04/19)
Abstract: We establish L2-exponential convergence rate for three popular piecewise deterministic Markov processes for sampling: the randomized Hamiltonian Monte Carlo method, the zigzag process and the bouncy particle sampler. Our analysis is based on a variational framework for hypocoercivity, which combines a Poincaré-type inequality in time-augmented state space and a standard L2 energy estimate. Our analysis provides explicit convergence rate estimates, which are more quantitative than existing results.
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