Hypercoercivity of Piecewise Deterministic Markov Process-Monte Carlo

08/26/2018

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by   Christophe Andrieu, et al.

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Ecole nationale des Ponts et Chausses

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ens-cachan.fr

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University of Bristol

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GMX

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In this paper we derive spectral gap estimates for several Piecewise Deterministic Markov Processes, namely the Randomized Hamiltonian Monte Carlo, the Zig-Zag process and the Bouncy Particle Sampler. The hypocoercivity technique we use, presented in (Dolbeault et al., 2015), produces estimates with explicit dependence on the parameters of the dynamics. Moreover the general framework we consider allows to compare quantitatively the bounds found for the different methods.