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- W4288404841 abstract "For sampling from a log-concave density, we study implicit integrators resulting from $theta$-method discretization of the overdamped Langevin diffusion stochastic differential equation. Theoretical and algorithmic properties of the resulting sampling methods for $ theta in [0,1] $ and a range of step sizes are established. Our results generalize and extend prior works in several directions. In particular, for $thetage1/2$, we prove geometric ergodicity and stability of the resulting methods for all step sizes. We show that obtaining subsequent samples amounts to solving a strongly-convex optimization problem, which is readily achievable using one of numerous existing methods. Numerical examples supporting our theoretical analysis are also presented." @default.
- W4288404841 created "2022-07-29" @default.
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- W4288404841 date "2019-03-28" @default.
- W4288404841 modified "2023-09-27" @default.
- W4288404841 title "Implicit Langevin Algorithms for Sampling From Log-concave Densities" @default.
- W4288404841 doi "https://doi.org/10.48550/arxiv.1903.12322" @default.
- W4288404841 hasPublicationYear "2019" @default.
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