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stat.ML2020
Primal Dual Interpretation of the Proximal Stochastic Gradient Langevin Algorithm
Adil Salim, Peter Richtárik
We consider the task of sampling with respect to a log concave probability distribution. The potential of the target distribution is assumed to be composite, \textit{i.e.}, written…
stat.ML2019
Stochastic Proximal Langevin Algorithm: Potential Splitting and Nonasymptotic Rates
Adil Salim, Dmitry Kovalev, Peter Richtárik
We propose a new algorithm---Stochastic Proximal Langevin Algorithm (SPLA)---for sampling from a log concave distribution. Our method is a generalization of the Langevin algorithm…