Penalized Nonreversible Langevin for Constrained Sampling

Pervez Ali, Weihao Dong, Xiaoyu Wang

We propose penalized nonreversible Langevin algorithms for sampling from $\pi (x)\propto e^{-f(x)}{1}_{\mathcal{C}}(x)$, where $\mathcal{C}\subset {\mathbb{R}}^d$ is a compact convex…