Optimal scaling for the proximal Langevin algorithm in high dimensions

MaRDI QIDQ6985729zbMATH OpenFDO

Authors Natesh S. Pillai

Publication date 12 May 2025

Published in Journal of Machine Learning Research (JMLR) (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://jmlr.org/papers/v25/23-0139.html

zbMATH Keywords

convex optimizationdiffusion approximationMarkov chain Monte CarloMetropolis-adjusted Langevin algorithmMoreau envelopeproximal operatorsscaling limit

Mathematics Subject Classification ID

Diffusion processes (60J60) Computational methods for problems pertaining to statistics (62-08) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40)

Cites work

• A Hamiltonian Monte Carlo Method for Non-Smooth Energy Sampling
• Analysis of SPDEs arising in path sampling. I: The Gaussian case
• Analysis of SPDEs arising in path sampling. II: The nonlinear case
• Asymptotic behaviour of a class of stochastic approximation procedures
• Convex analysis and monotone operator theory in Hilbert spaces
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Efficient Bayesian computation by proximal Markov chain Monte Carlo: when Langevin meets Moreau
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Inverse problems: a Bayesian perspective
• MCMC METHODS FOR DIFFUSION BRIDGES
• MCMC methods for sampling function space
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Proximal Markov chain Monte Carlo algorithms
• Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods
• Stochastic Equations in Infinite Dimensions
• Stochastic zeroth-order discretizations of Langevin diffusions for Bayesian inference
• The Global Dynamics of Discrete Semilinear Parabolic Equations
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(1)

• Optimal scaling results for Moreau-Yosida Metropolis-adjusted Langevin algorithms

This page was built for publication: Optimal scaling for the proximal Langevin algorithm in high dimensions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6985729)