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Rates of convergence to statistical equilibrium: a general approach and applications

Analysis, Dynamics, and Applications Seminar

Rates of convergence to statistical equilibrium: a general approach and applications
Series: Analysis, Dynamics, and Applications Seminar
Location: Zoom Meeting
Presenter: Cecilia Mondaini, Department of Mathematics, Drexel University

Randomness is an intrinsic part of many physical systems. For example, it might appear due to uncertainty in the initial data, or in the derivation of the mathematical model, or also in observational measurements. In this talk, we focus on the study of convergence/mixing rates for stochastic/random dynamical systems towards statistical equilibrium. Our approach uses the weak Harris theorem combined with a generalized coupling technique to obtain such rates for infinite-dimensional stochastic systems in a suitable Wasserstein distance. We emphasize the importance of obtaining these results via algorithms that are well-defined in infinite dimensions. This allows to obtain convergence rates that are robust with respect to finite-dimensional approximations, thus beating the curse of dimensionality. In particular, we show two scenarios where this approach is applied in the context of stochastic fluid flows. First, to show that Markov kernels constructed from a suitable numerical discretization of the 2D stochastic Navier-Stokes equations converge towards the invariant measure of the continuous system. Second, to approximate the posterior measure obtained via a Bayesian approach to inverse PDE problems, particularly when applied to advection-diffusion type PDEs. Here we present an alternative proof of mixing rates for the exact preconditioned Hamiltonian Monte Carlo algorithm in infinite dimensions, a result that was still an open problem until quite recently. This talk is based on joint works with Nathan Glatt-Holtz (Tulane U).

Cecilia Mondaini  Zoom:  https://arizona.zoom.us/j/99410014231

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