Stochastic Proximal Langevin Algorithm: Potential Splitting and Nonasymptotic Rates

NeurIPS 2019 Adil SalimDmitry KovalevPeter Richtárik

We propose a new algorithm---Stochastic Proximal Langevin Algorithm (SPLA)---for sampling from a log concave distribution. Our method is a generalization of the Langevin algorithm to potentials expressed as the sum of one stochastic smooth term and multiple stochastic nonsmooth terms... (read more)

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