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Feb, 2018
镜像 Langevin 动力学
Mirrored Langevin Dynamics
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Ya-Ping Hsieh, Volkan Cevher
TL;DR
研究了从受限分布中采样的问题,提出了一种统一的框架来导出新的一阶采样方案,并应用于Dirichlet posteriors中,证明了第一阶算法实现了收敛性,最后在真实数据集上报告了有希望的实验结果。
Abstract
We generalize the Langevin Dynamics through the
mirror descent
framework for first-order sampling. The na\"ive approach of incorporating Brownian motion into the
mirror descent
dynamics, which we refer to as Symm
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