相关论文: Non-asymptotic analysis of Langevin-type Monte Car…
Standard first-order Langevin algorithms such as the unadjusted Langevin algorithm (ULA) are obtained by discretizing the Langevin diffusion and are widely used for sampling in machine learning because they scale to high dimensions and…
The Langevin Markov chain algorithms are widely deployed methods to sample from distributions in challenging high-dimensional and non-convex statistics and machine learning applications. Despite this, current bounds for the Langevin…
This paper provides data-dependent bounds on the expected error of the Gibbs algorithm in the overparameterized interpolation regime, where low training errors are also obtained for impossible data, such as random labels in classification.…
Sampling from a high-dimensional probability distribution is a fundamental algorithmic task arising in wide-ranging applications across multiple disciplines, including scientific computing, computational statistics and machine learning.…
This paper presents a new accelerated proximal Markov chain Monte Carlo methodology to perform Bayesian inference in imaging inverse problems with an underlying convex geometry. The proposed strategy takes the form of a stochastic relaxed…
Sampling from lattice Gaussian distribution has emerged as an important problem in coding, decoding and cryptography. In this paper, the classic Gibbs algorithm from Markov chain Monte Carlo (MCMC) methods is demonstrated to be…
The Robbins-Monro algorithm is a recursive, simulation-based stochastic procedure to approximate the zeros of a function that can be written as an expectation. It is known that under some technical assumptions, Gaussian limit distributions…
Analogue to the well-known Langevin Monte Carlo method, in this article we provide a method to sample from a target distribution \(\pi\) by simulating a solution of a stochastic differential equation. Hereby, the stochastic differential…
Discretizations of Langevin diffusions provide a powerful method for sampling and Bayesian inference. However, such discretizations require evaluation of the gradient of the potential function. In several real-world scenarios, obtaining…
We formulate explicit bounds to guarantee the exponential dissipation for some non-gradient stochastic differential equations towards their invariant distributions. Our method extends the connection between Gamma calculus and Hessian…
Stochastic gradient Markov Chain Monte Carlo algorithms are popular samplers for approximate inference, but they are generally biased. We show that many recent versions of these methods (e.g. Chen et al. (2014)) cannot be corrected using…
In this paper, we introduce the $\sigma$-antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLMC one introduced by Giles and Szpruch \cite{a}. Our aim…
We study the Proximal Langevin Algorithm (PLA) for sampling from a probability distribution $\nu = e^{-f}$ on $\mathbb{R}^n$ under isoperimetry. We prove a convergence guarantee for PLA in Kullback-Leibler (KL) divergence when $\nu$…
Stochastic approximation methods play a central role in maximum likelihood estimation problems involving intractable likelihood functions, such as marginal likelihoods arising in problems with missing or incomplete data, and in parametric…
Bayesian methods of sampling from a posterior distribution are becoming increasingly popular due to their ability to precisely display the uncertainty of a model fit. Classical methods based on iterative random sampling and posterior…
We study the convergence of Langevin-Simulated Annealing type algorithms with multiplicative noise, i.e. for $V : \mathbb{R}^d \to \mathbb{R}$ a potential function to minimize, we consider the stochastic equation $dY_t = - \sigma…
This paper presents a new Metropolis-adjusted Langevin algorithm (MALA) that uses convex analysis to simulate efficiently from high-dimensional densities that are log-concave, a class of probability distributions that is widely used in…
The Langevin algorithms are frequently used to sample the posterior distributions in Bayesian inference. In many practical problems, however, the posterior distributions often consist of non-differentiable components, posing challenges for…
We present a significant advancement in the field of Langevin Monte Carlo (LMC) methods by introducing the Inexact Proximal Langevin Algorithm (IPLA). This novel algorithm broadens the scope of problems that LMC can effectively address…
We consider the problem of sampling from a high-dimensional target distribution $\pi_\beta$ on $\mathbb{R}^d$ with density proportional to $\theta\mapsto e^{-\beta U(\theta)}$ using explicit numerical schemes based on discretising the…