An adaptive Hessian approximated stochastic gradient MCMC method

DOI10.1016/J.JCP.2021.110150OpenAlexW3090537715MaRDI QIDQ2128489FDOQ2128489

Wei Deng, Yating Wang, Guang Lin

Publication date: 22 April 2022

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.01384

zbMATH Keywords

deep learningstochastic approximationlimited memory BFGSadaptive Bayesian methodHessian approximated stochastic gradient MCMChighly correlated density

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Markov processes (60Jxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx)

Cites Work

• On the limited memory BFGS method for large scale optimization
• A stochastic quasi-Newton method for large-scale optimization
• A Stochastic Approximation Method
• Global convergence of online limited memory BFGS
• SGD-QN: careful quasi-Newton stochastic gradient descent
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• A mixed multiscale finite element method for elliptic problems with oscillating coefficients
• Mixed Generalized Multiscale Finite Element Methods and Applications
• Langevin diffusions and the Metropolis-adjusted Langevin algorithm
• Stochastic Quasi-Newton Methods for Nonconvex Stochastic Optimization
• Exploration of the (non-)asymptotic bias and variance of stochastic gradient Langevin dynamics

Cited In (2)

• Multi-variance replica exchange SGMCMC for inverse and forward problems via Bayesian PINN
• An adaptive Hessian approximated stochastic gradient MCMC method

Uses Software

• L-BFGS
• SGD-QN

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