Stochastic gradient Langevin dynamics with adaptive drifts

DOI10.1080/00949655.2021.1958812OpenAlexW3185641827MaRDI QIDQ3390482FDOQ3390482

Authors: Se-Hwan Kim, Qifan Song, Faming Liang 

Publication date: 24 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.1958812

zbMATH Keywords

adaptive MCMCmomentumdeep neural networkstochastic gradient MCMCmini-batch data

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• ADADELTA
• Optimization by simulated annealing
• Stochastic Approximation in Monte Carlo Computation
• The Zig-Zag Process and Super-Efficient Sampling for Bayesian Analysis of Big Data
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• Consistency and fluctuations for stochastic gradient Langevin dynamics
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Title not available (Why is that?)
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Stochastic Gradient Markov Chain Monte Carlo
• Double-parallel Monte Carlo for Bayesian analysis of big data
• Exploration of the (non-)asymptotic bias and variance of stochastic gradient Langevin dynamics
• Title not available (Why is that?)
• User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient

Cited In (8)

• Adaptive deep density approximation for Fokker-Planck equations
• A Stochastic Approximation-Langevinized Ensemble Kalman Filter Algorithm for State Space Models with Unknown Parameters
• Efficient and generalizable tuning strategies for stochastic gradient MCMC
• Hybrid deterministic-stochastic gradient Langevin dynamics for Bayesian learning
• Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms
• Self-Supervised Deep Learning for Image Reconstruction: A Langevin Monte Carlo Approach
• On Langevin Updating in Multilayer Perceptrons
• A stochastic Schumacher diffusion process: probability characteristics computation and statistical analysis

Uses Software

• AdaGrad
• RMSprop
• Adam
• ADADELTA

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