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Analysis of Langevin Monte Carlo from Poincaré to Log-Sobolev

By Sinho Chewi and others
Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution π\pi under the sole assumption that π\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
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Analysis of Langevin Monte Carlo from Poincaré to Log-Sobolev
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