A stochastic version of Stein variational gradient descent for efficient sampling
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Publication:782348
DOI10.2140/camcos.2020.15.37zbMath1444.62043arXiv1902.03394OpenAlexW2927093237MaRDI QIDQ782348
Zibu Liu, Jian-Guo Liu, Lei Li, Yingzhou Li, Jian-feng Lu
Publication date: 24 July 2020
Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.03394
reproducing kernel Hilbert spaceMCMCKL divergencenonparametric variational inferencerandom batch methodRBM-SVGD
Nonparametric estimation (62G05) Monte Carlo methods (65C05) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Stochastic particle methods (65C35)
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Cites Work
- Random batch methods (RBM) for interacting particle systems
- Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
- Scaling Limit of the Stein Variational Gradient Descent: The Mean Field Regime
- Data Assimilation
- Monte Carlo sampling methods using Markov chains and their applications
- Theory of Reproducing Kernels
- A Stochastic Approximation Method
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