Subgradient Langevin Methods for Sampling from Non-smooth Potentials

Andreas Habring, Martin Holler, Thomas Pock

This paper is concerned with sampling from probability distributions $\pi$ on ${\mathbb{R}}^d$ admitting a density of the form $\pi (x)\propto e^{-U(x)}$, where $U(x)=F(x)+G(Kx)$ with $K…