Abstract
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 Poincaré 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.
Original language | English |
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Article number | 78 |
Journal | Electronic Journal of Probability |
Volume | 26 |
Early online date | 1 Jun 2021 |
DOIs | |
Publication status | Published - 2021 |
Keywords
- Hypocoercivity
- Markov chain Monte Carlo
- Piecewise-deterministic Markov process
- Subgeometric convergence
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty