Two-Loop Stochastic Mirror Langevin Algorithms for Constrained Sampling

Ruiting Tong, Antik Chakraborty, Raghu Pasupathy

We study the problem of sampling from a target distribution $\pi (x)\propto e^{-f(x)}$ supported on a convex set $X\subseteq {\mathbb{R}}^d$, when the potential $f$ is accessible only th…