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math.PR2023
Reflection coupling for unadjusted generalized Hamiltonian Monte Carlo in the nonconvex stochastic gradient case
Martin Chak, Pierre Monmarché
Contraction in Wasserstein 1-distance with explicit rates is established for generalized Hamiltonian Monte Carlo with stochastic gradients under possibly nonconvex conditions. The…
stat.ME2023
Optimal importance sampling for overdamped Langevin dynamics
M. Chak, T. Lelièvre, G. Stoltz +1
Calculating averages with respect to multimodal probability distributions is often necessary in applications. Markov chain Monte Carlo (MCMC) methods to this end, which are based o…