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Exponential Lyapunov drift for the formal Langevin generator
Statement
Let , , and suppose is -Lipschitz with . Let be a global minimizer with , and assume the radial condition of Radial gradient drift forces potential coercivity with parameters , , and . For , set where is only the displayed formal differential operator here. Define Then for every ,
Facts & Assumptions
Given: , , and the constants in the Statement.
, its gradient is -Lipschitz, is a global minimizer with , and the stated radial drift condition holds. The Euclidean inner product and gradient are those of The Euclidean inner product on and The Jacobian matrix of partial derivatives and the gradient in the scalar-valued case, the Hessian convention is The Hessian matrix and critical points of a scalar field, and the radial condition is from Radial gradient drift forces potential coercivity.
A differentiable function at an interior local minimum has zero gradient. Fermat's theorem: an interior differentiable local extremum has zero gradient
The chain rule computes derivatives of compositions. The chain rule for total derivatives:
The fundamental theorem of calculus integrates a continuous derivative along a compact interval. Newton–Leibniz needs only continuity on , differentiability on , and a Riemann-integrable extension of the interior derivative
Proof
Given: The hypotheses and formal operator in the Statement.
By [F1], . For each coordinate vector , the Lipschitz bound gives Taking yields , so .
Applying [F2] coordinatewise to gives Substitution in the displayed definition of therefore gives
If and , radial drift and [F3] imply . Thus when , the formula in step 2.1 and give The same conclusion holds for by the definition of .
For and , Lipschitz continuity and [F1] give . The chain rule and [F4] therefore yield . Since , on we have . Also by step 1.1, so step 2.1 implies .
On use step 3.1, and on use step 3.2. These two regions cover and give the displayed drift inequality.
Depends on
- The Euclidean inner product $\langle x,y\rangle = \sum_{k<n} x_k y_k$ on $\mathbb{R}^n$
- The Hessian matrix and critical points of a scalar field
- The Jacobian matrix of partial derivatives and the gradient in the scalar-valued case
- Radial gradient drift forces potential coercivity
- Cauchy-Schwarz $\lvert\langle x,y\rangle\rvert \le \lVert x\rVert_2\lVert y\rVert_2$ with its equality case, the triangle inequality for $\lVert\cdot\rVert_2$, the parallelogram law and polarisation
- Fermat's theorem: an interior differentiable local extremum has zero gradient
- The chain rule for total derivatives: $D(g\circ f)(a)=Dg(f(a))\circ Df(a)$
- Newton–Leibniz needs only continuity on $[a,b]$, differentiability on $(a,b)$, and a Riemann-integrable extension of the interior derivative
Used by
Dependency tree · two levels
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Sources
- Alain Durmus and Éric Moulines, Non-asymptotic convergence analysis for the Unadjusted Langevin Algorithm, Proposition 7 and proof §4.3 (standard reference, not scraped)