Subgeometric hypocoercivity for piecewise-deterministic Markov process Monte Carlo methods

被引:10
作者
Andrieu, Christophe [1 ]
Dobson, Paul [2 ]
Wang, Andi Q. [1 ]
机构
[1] Univ Bristol, Bristol, Avon, England
[2] Delft Univ Technol, Delft, Netherlands
基金
英国工程与自然科学研究理事会; 荷兰研究理事会;
关键词
Piecewise-deterministic Markov process; hypocoercivity; Markov chain Monte Carlo; subgeometric convergence; WEAK POINCARE INEQUALITIES;
D O I
10.1214/21-EJP643
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We extend the hypocoercivity framework for piecewise-deterministic Markov process (PDMP) Monte Carlo established in [2] to heavy-tailed target distributions, which exhibit subgeometric rates of convergence to equilibrium. We make use of weak Poincare inequalities, as developed in the work of [15], 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.
引用
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页数:26
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