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math.ST2020★ 1 cited
Double-Loop Unadjusted Langevin Algorithm
Paul Rolland, Armin Eftekhari, Ali Kavis +1
A well-known first-order method for sampling from log-concave probability distributions is the Unadjusted Langevin Algorithm (ULA). This work proposes a new annealing step-size sch…
math.ST2015★ 4 cited
A Geometric View on Constrained M-Estimators
Yen-Huan Li, Ya-Ping Hsieh, Nissim Zerbib +1
We study the estimation error of constrained M-estimators, and derive explicit upper bounds on the expected estimation error determined by the Gaussian width of the constraint set.…