On explicit -convergence rate estimate for piecewise deterministic
Markov processes
The Annals of Applied Probability (Ann. Appl. Probab.), 2020
Abstract
We establish -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 Poincar\'{e}-type inequality in time-augmented state space and a standard energy estimate. Our analysis provides explicit convergence rate estimates, which are more quantitative than existing results.
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