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Uniform minorization condition and convergence bounds for discretizations of kinetic Langevin dynamics

  • Laboratoire de Mathématiques d'Orsay

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

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 languageEnglish
Pages (from-to)629-664
Number of pages36
JournalAnnales de l'institut Henri Poincare (B) Probability and Statistics
Volume61
Issue number1
DOIs
Publication statusPublished - 1 Feb 2025

Keywords

  • Discretization
  • Geometric ergodicity
  • Minorization conditions
  • Underdamped Langevin diffusion

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