This event has ended. View the official site or create your own event → Check it out
This event has ended. Create your own
View analytic
Wednesday, December 9 • 19:00 - 23:59
Finite-Time Analysis of Projected Langevin Monte Carlo

Sign up or log in to save this to your schedule and see who's attending!

We analyze the projected Langevin Monte Carlo (LMC) algorithm, a close cousin of projected Stochastic Gradient Descent (SGD). We show that LMC allows to sample in polynomial time from a posterior distribution restricted to a convex body and with concave log-likelihood. This gives the first Markov chain to sample from a log-concave distribution with a first-order oracle, as the existing chains with provable guarantees (lattice walk, ball walk and hit-and-run) require a zeroth-order oracle. Our proof uses elementary concepts from stochastic calculus which could be useful more generally to understand SGD and its variants.

Wednesday December 9, 2015 19:00 - 23:59
210 C #93

Attendees (2)