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Aug, 2019
高阶 Langevin 拓扑在 Markov Chain Monte Carlo 算法中的加速
High-Order Langevin Diffusion Yields an Accelerated MCMC Algorithm
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Wenlong Mou, Yi-An Ma, Martin J. Wainwright, Peter L. Bartlett, Michael I. Jordan
TL;DR
提出使用三阶Langevin动力学的马尔科夫链蒙特卡罗算法，用于采样具有对数凹和平滑密度函数的分布，并在广义线性模型下证明其结果仅需满足梯度的Lipschitz条件
Abstract
We propose a
markov chain monte carlo
(MCMC) algorithm based on third-order
langevin dynamics
for sampling from distributions with log-concave and smooth densities. The higher-order dynamics allow for more flexib
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