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Double-loop unadjusted langevin algorithm
LIONS, Ecole Polytechnique Fédérale de Lausanne, Switzerland.
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
LIONS, Ecole Polytechnique Fédérale de Lausanne, Switzerland.
LIONS, Ecole Polytechnique Fédérale de Lausanne, Switzerland.
2020 (English)In: 37th International Conference on Machine Learning, ICML 2020 / [ed] Hal Daumé III, Aarti Singh, International Machine Learning Society (IMLS) , 2020, p. 8139-8147Conference paper, Published paper (Refereed)
Abstract [en]

A well-known first-order method for sampling from log-concave probability distributions is the Unadjusted Langevin Algorithm (ULA). This work proposes a new annealing step-size schedule for ULA, which allows to prove new convergence guarantees for sampling from a smooth log-concave distribution, which are not covered by existing state-of-the-art convergence guarantees. To establish this result, we derive a new theoretical bound that relates the Wasserstein distance to total variation distance between any two log-concave distributions that complements the reach of Talagrand T2 inequality. Moreover, applying this new step size schedule to an existing constrained sampling algorithm, we show stateof- the-art convergence rates for sampling from a constrained log-concave distribution, as well as improved dimension dependence.

Place, publisher, year, edition, pages
International Machine Learning Society (IMLS) , 2020. p. 8139-8147
National Category
Computational Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-183574Scopus ID: 2-s2.0-85105307677ISBN: 9781713821120 (electronic)OAI: oai:DiVA.org:umu-183574DiVA, id: diva2:1559586
Conference
37th International Conference on Machine Learning, ICML 2020, Online, 13-18 July, 2020.
Available from: 2021-06-02 Created: 2021-06-02 Last updated: 2021-06-02Bibliographically approved

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Eftekhari, Armin

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