The tamed unadjusted Langevin algorithm

DOI10.1016/j.spa.2018.10.002OpenAlexW2962813392MaRDI QIDQ2274251

Eric Moulines, Alain Durmus, Sotirios Sabanis, Nicolas Brosse

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.05559

zbMATH Keywords

Markov chain Monte CarloWasserstein distancetotal variation distancetamed unadjusted Langevin algorithm

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)

Related Items (14)

Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations ⋮ Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations ⋮ Sublinear Convergence of a Tamed Stochastic Gradient Descent Method in Hilbert Space ⋮ Nonasymptotic estimates for stochastic gradient Langevin dynamics under local conditions in nonconvex optimization ⋮ A strongly monotonic polygonal Euler scheme ⋮ A fresh Take on ‘Barker Dynamics’ for MCMC ⋮ Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms ⋮ Simulating Coulomb and log-gases with hybrid Monte Carlo algorithms ⋮ Hypocoercivity of piecewise deterministic Markov process-Monte Carlo ⋮ On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case ⋮ On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients ⋮ A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations ⋮ Higher order Langevin Monte Carlo algorithm ⋮ Unadjusted Langevin algorithm for sampling a mixture of weakly smooth potentials

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