Langevin Monte Carlo: random coordinate descent and variance reduction

26 Jul 2020 Zhiyan Ding Qin Li

Sampling from a log-concave distribution function on $\mathbb{R}^d$ (with $d\gg 1$) is a popular problem that has wide applications. In this paper we study the application of random coordinate descent method (RCD) on the Langevin Monte Carlo (LMC) sampling method, and we find two sides of the theory: 1... (read more)

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