Infinite Dimensional Piecewise Deterministic Markov Processes

Autor:	Dobson, Paul, Bierkens, Joris
Rok vydání:	2022
Předmět:	Mathematics - Probability 60J25 60G53 65C05 46N30
Druh dokumentu:	Working Paper
Popis:	In this paper we aim to construct infinite dimensional versions of well established Piecewise Deterministic Monte Carlo methods, such as the Bouncy Particle Sampler, the Zig-Zag Sampler and the Boomerang Sampler. In order to do so we provide an abstract infinite-dimensional framework for Piecewise Deterministic Markov Processes (PDMPs) with unbounded event intensities. We further develop exponential convergence to equilibrium of the infinite dimensional Boomerang Sampler, using hypocoercivity techniques. Furthermore we establish how the infinite dimensional Boomerang Sampler admits a finite dimensional approximation, rendering it suitable for computer simulation. Comment: 52 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2205.11452 Zobrazit plný text záznamu View this record from Arxiv