193 citations · 476 across the 39 of their papers we have counts for
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A Tamed Euler Scheme for SDEs with Non-Locally Integrable Drift Coefficient
Tim Johnston, Sotirios Sabanis
In this article we show that for SDEs with a drift coefficient that is non-locally integrable, one may define a tamed Euler scheme that converges in at rate to the true…
Taming the Interacting Particle Langevin Algorithm: The Superlinear case
Tim Johnston, Nikolaos Makras, Sotirios Sabanis
Recent advances in stochastic optimization have yielded the interacting particle Langevin algorithm (IPLA), which leverages the notion of interacting particle systems (IPS) to effi…
Convergence Of The Unadjusted Langevin Algorithm For Discontinuous Gradients
Tim Johnston, Sotirios Sabanis
We demonstrate that for strongly log-convex densities whose potentials are discontinuous on manifolds, the ULA algorithm converges with stepsize bias of order in Wasserstein-…
Taming under isoperimetry
Iosif Lytras, Sotirios Sabanis
In this article we propose a novel taming Langevin-based scheme called to sample from distributions with superlinearly growing log-gradient which also satisfy a Lo…
Kinetic Langevin MCMC Sampling Without Gradient Lipschitz Continuity -- the Strongly Convex Case
Tim Johnston, Iosif Lytras, Sotirios Sabanis
In this article we consider sampling from log concave distributions in Hamiltonian setting, without assuming that the objective gradient is globally Lipschitz. We propose two algor…
Existence, uniqueness and approximation of solutions of SDEs with superlinear coefficients in the presence of discontinuities of the drift coefficient
Thomas Müller-Gronbach, Sotirios Sabanis, Larisa Yaroslavtseva
Existence, uniqueness, and -approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has fi…