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Oct, 2020
镜像 Langevin 算法实现高效约束采样
Efficient constrained sampling via the mirror-Langevin algorithm
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Kwangjun Ahn, Sinho Chewi
TL;DR
我们提出了一种新的镜像随机Langevin扩散离散化方法,并给出了其收敛性的确定证明。
Abstract
We propose a new discretization of the
mirror-langevin diffusion
and give a crisp proof of its convergence. Our analysis uses
relative convexity
/smoothness and
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