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stat.CO2025
Complexity of Markov Chain Monte Carlo for Generalized Linear Models
Martin Chak, Giacomo Zanella
Markov Chain Monte Carlo (MCMC), Laplace approximation (LA) and variational inference (VI) methods are popular approaches to Bayesian inference, each with trade-offs between comput…
stat.CO2024
On theoretical guarantees and a blessing of dimensionality for nonconvex sampling
Martin Chak
Guarantees for algorithms sampling from nonlogconcave target measures on are studied. For the class of measures with logdensities that have bounded Hessians and are…
stat.CO2021
Optimal friction matrix for underdamped Langevin sampling
Martin Chak, Nikolas Kantas, Tony Lelièvre +1
A systematic procedure for optimising the friction coefficient in underdamped Langevin dynamics as a sampling tool is given by taking the gradient of the associated asymptotic vari…