Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions
Gareth O. Roberts, Jeffrey S. Rosenthal
TL;DR
This paper establishes quantitative bounds on how quickly symmetric Langevin diffusions converge to their stationary distribution, aiding understanding of their efficiency in sampling.
Contribution
It introduces new bounds specifically for symmetric Langevin diffusions, improving theoretical understanding of their convergence behavior.
Findings
Derived explicit convergence rate bounds
Applicable to a broad class of symmetric target densities
Enhances theoretical tools for analyzing Langevin dynamics
Abstract
We provide quantitative bounds on the convergence to stationarity of real-valued Langevin diffusions with symmetric target densities.
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Taxonomy
TopicsMarkov Chains and Monte Carlo Methods · Stochastic processes and statistical mechanics · Bayesian Methods and Mixture Models