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arXiv 2104.07943math.APmath.PRmath.SP
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奇异域上Metropolis算法的谱渐近性

Spectral asymptotics for Metropolis algorithm on singular domains

Laurent Michel

摘要:

研究了欧几里得空间中有界连通域$Ω$上的Metropolis算法,该算法的建议核位于小尺度$h > 0$上.我们考虑的情况下,域$Ω$,可能有尖点奇点。对于小的参数$h$的值,我们证明了一个频谱间隙$g(h)$的存在和研究的行为时,$h$为零的$g(h)$。因此,我们得到指数快速返回到平衡的全变差距离。

英文摘要:

We study the Metropolis algorithm on a bounded connected domain $Ω$ of the euclidean space with proposal kernel localized at a small scale $h > 0$. We consider the case of a domain $Ω$ that may have cusp singularities. For small values of the parameter $h$ we prove the existence of a spectral gap $g(h)$ and study the behavior of $g(h)$ when $h$ goes to zero. As a consequence, we obtain exponentially fast return to equilibrium in total variation distance.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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