Abstract
We study the convergence in total variation and V-norm of discretization schemes of the underdamped Langevin dynamics. Such algorithms are very popular and commonly used in molecular dynamics and computational statistics to approximatively sample from a target distribution of interest. We show first that, for a very large class of schemes, a minorization condition uniform in the stepsize holds. This class encompasses popular methods such as the Euler-Maruyama scheme and the schemes based on splitting strategies. Second, we provide mild conditions ensuring that the class of schemes that we consider satisfies a geometric Foster–Lyapunov drift condition, again uniform in the stepsize. This allows us to derive geometric convergence bounds, with a convergence rate scaling linearly with the stepsize. This kind of result is of prime interest to obtain estimates on norms of solutions to Poisson equations associated with a given numerical method.
| Original language | English |
|---|---|
| Pages (from-to) | 629-664 |
| Number of pages | 36 |
| Journal | Annales de l'institut Henri Poincare (B) Probability and Statistics |
| Volume | 61 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Feb 2025 |
Keywords
- Discretization
- Geometric ergodicity
- Minorization conditions
- Underdamped Langevin diffusion
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