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Arnak DALALYAN – "User-friendly bounds for sampling from a log-concave density using Langevin Monte Carlo"
September 11, 2017 @ 3:00 pm - 4:15 pm
Lundi 11 septembre 2017 de 15h à 16h15, en salle 3001 à l’ENSAE
Adresse : 5, avenue Henry Le Chatelier 91120 Palaiseau
Accès : RER B (arrêt « Massy-Palaiseau ») + à la gare prendre bus TransEssonne 91.06 (B, C) ou 91.10 (arrêt « Lozère ») 11 min ≈
Ou RER B (arrêt « Lozère ») + itinéraire piéton 15 min (300 marches ≈, direction sentier de l’Ecole Polytechnique).
Intervenant : Arnak DALALYAN (ENSAE-ParisTech CREST)
We will present new bounds on the sampling error in the case where the target distribution has a smooth and log-concave density. These bounds are established for the Langevin Monte Carlo and its discretized versions involving the Hessian matrix of the log-density. We will also discuss the case where accurate evaluation of the gradient is impossible.