Active-Trace Complexity Bounds for Moreau--Yosida Unadjusted Langevin Sampling

Yuchen Xin, Zhihua Zhang

We study the Moreau--Yosida unadjusted Langevin algorithm (MYULA) for the nonsmooth composite target \[ π(dx)\propto \exp\{-f(x)-g(x)\}\,dx, \qquad x\in\mathbb R^d, \] where \(f\)…