Finite-Time Analysis of Projected Langevin Monte Carlo

no code implementations • NeurIPS 2015 • Sebastien Bubeck, Ronen Eldan, Joseph Lehec

We analyze the projected Langevin Monte Carlo (LMC) algorithm, a close cousin of projected Stochastic Gradient Descent (SGD).

Sampling from a log-concave distribution with Projected Langevin Monte Carlo

no code implementations • 9 Jul 2015 • Sébastien Bubeck, Ronen Eldan, Joseph Lehec

We extend the Langevin Monte Carlo (LMC) algorithm to compactly supported measures via a projection step, akin to projected Stochastic Gradient Descent (SGD).