By Sinho Chewi and others

Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution $\pi$ under the sole assumption that $\pi$ satisfies a Poincar\'e inequality. Using this fact to provide guarantees for the discrete-time Langevin Monte Carlo (LMC) algorithm, however, is considerably more challenging due to the need for working with chi-squared... Show more

July 10, 2024

Loading full text...

Similar articles

Loading recommendations...

x1

Analysis of Langevin Monte Carlo from Poincaré to Log-Sobolev

Click on play to start listening