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math.OC2024
Non-asymptotic convergence analysis of the stochastic gradient Hamiltonian Monte Carlo algorithm with discontinuous stochastic gradient with applications to training of ReLU neural networks
Luxu Liang, Ariel Neufeld, Ying Zhang
In this paper, we provide a non-asymptotic analysis of the convergence of the stochastic gradient Hamiltonian Monte Carlo (SGHMC) algorithm to a target measure in Wasserstein-1 and…
math.OC2024
Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang
In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD) algorithm tailored for solving a certain class of non-convex distributionally robust optimisation (DRO) prob…