On explicit L^2-convergence rate estimate for piecewise deterministic Markov processes

07/29/2020 ∙ by Jianfeng Lu, et al. ∙ 0

We establish L^2-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 L^2 energy estimate. Our analysis provides explicit convergence rate estimates, which are more quantitative than existing results.

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