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Strict Kantorovich contractions for Markov chains and Euler schemes with general noise. Stoch Process Their Appl 2022. [DOI: 10.1016/j.spa.2022.06.011] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/17/2022]
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Mou W, Flammarion N, Wainwright MJ, Bartlett PL. Improved bounds for discretization of Langevin diffusions: Near-optimal rates without convexity. BERNOULLI 2022. [DOI: 10.3150/21-bej1343] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Wenlong Mou
- Department of EECS, UC Berkeley, Cory Hall, Berkeley, CA, 94720, USA
| | - Nicolas Flammarion
- School of Computer and Communication Sciences, EPFL, INJ 336, Station 14, CH-1015 Lausanne, Switzerland
| | | | - Peter L. Bartlett
- Department of EECS, UC Berkeley, Cory Hall, Berkeley, CA, 94720, USA
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Qin Q, Hobert JP. Geometric convergence bounds for Markov chains in Wasserstein distance based on generalized drift and contraction conditions. ANNALES DE L'INSTITUT HENRI POINCARÉ, PROBABILITÉS ET STATISTIQUES 2022. [DOI: 10.1214/21-aihp1195] [Citation(s) in RCA: 2] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Qian Qin
- School of Statistics, University of Minnesota, Minneapolis, MN, USA
| | - James P. Hobert
- Department of Statistics, University of Florida, Gainesville, FL, USA
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Mangoubi O, Smith A. Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions: Continuous dynamics. ANN APPL PROBAB 2021. [DOI: 10.1214/20-aap1640] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
| | - Aaron Smith
- Department of Mathematics and Statistics, University of Ottawa
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Qin Q, Hobert JP. On the limitations of single-step drift and minorization in Markov chain convergence analysis. ANN APPL PROBAB 2021. [DOI: 10.1214/20-aap1628] [Citation(s) in RCA: 6] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Qian Qin
- School of Statistics, University of Minnesota
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Huang LJ, Majka MB, Wang J. Approximation of heavy-tailed distributions via stable-driven SDEs. BERNOULLI 2021. [DOI: 10.3150/20-bej1300] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Lu-Jing Huang
- College of Mathematics and Informatics, Fujian Normal University, 350007 Fuzhou, P.R. China
| | - Mateusz B. Majka
- School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh, EH14 4AS, UK
| | - Jian Wang
- College of Mathematics and Informatics & Fujian Key Laboratory of Mathematical Analysis and Applications (FJKLMAA) & Center for Applied Mathematics of Fujian Province (FJNU), Fujian Normal University, 350007 Fuzhou, P.R. China
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Majka MB, Mijatović A, Szpruch Ł. Nonasymptotic bounds for sampling algorithms without log-concavity. ANN APPL PROBAB 2020. [DOI: 10.1214/19-aap1535] [Citation(s) in RCA: 8] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Durmus A, Moulines É. High-dimensional Bayesian inference via the unadjusted Langevin algorithm. BERNOULLI 2019. [DOI: 10.3150/18-bej1073] [Citation(s) in RCA: 34] [Impact Index Per Article: 6.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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