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Wednesday, December 9 • 19:00 - 23:59
Finite-Time Analysis of Projected Langevin Monte Carlo

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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)