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math.ST2024
On The Variance of Schatten -Norm Estimation with Gaussian Sketching Matrices
Lior Horesh, Vasileios Kalantzis, Yingdong Lu +1
Monte Carlo matrix trace estimation is a popular randomized technique to estimate the trace of implicitly-defined matrices via averaging quadratic forms across several observations…
math.ST2024
On Convergence of the Alternating Directions SGHMC Algorithm
Soumyadip Ghosh, Yingdong Lu, Tomasz Nowicki
We study convergence rates of Hamiltonian Monte Carlo (HMC) algorithms with leapfrog integration under mild conditions on stochastic gradient oracle for the target distribution (SG…