Optimal Scaling for the Proximal Langevin Algorithm in High Dimensions

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Optimal Scaling for the Proximal Langevin Algorithm in High Dimensions

21 April 2022

Natesh S. Pillai

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Papers citing "Optimal Scaling for the Proximal Langevin Algorithm in High Dimensions"

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Title
Non-Log-Concave and Nonsmooth Sampling via Langevin Monte Carlo Algorithms Tim Tsz-Kit Lau Han Liu Thomas Pock 101 4 0 25 May 2023
Efficient Bayesian computation for low-photon imaging problems Savvas Melidonis P. Dobson Y. Altmann Marcelo Pereyra K. Zygalakis 44 12 0 10 Jun 2022
Projected Stochastic Gradient Langevin Algorithms for Constrained Sampling and Non-Convex Learning Andrew G. Lamperski 44 28 0 22 Dec 2020
Proximal Markov chain Monte Carlo algorithms Marcelo Pereyra 148 178 0 02 Jun 2013
Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions Natesh S. Pillai Andrew M. Stuart Alexandre Hoang Thiery 133 100 0 02 Mar 2011
Diffusion limits of the random walk Metropolis algorithm in high dimensions Jonathan C. Mattingly Natesh S. Pillai Andrew M. Stuart 163 114 0 22 Mar 2010