Non-asymptotic convergence analysis for the Unadjusted Langevin Algorithm

@article{Durmus2015NonasymptoticCA,
  title={Non-asymptotic convergence analysis for the Unadjusted Langevin Algorithm},
  author={Alain Durmus and {\'E}ric Moulines},
  journal={arXiv: Statistics Theory},
  year={2015}
}
In this paper, we study a method to sample from a target distribution $\pi$ over $\mathbb{R}^d$ having a positive density with respect to the Lebesgue measure, known up to a normalisation factor. This method is based on the Euler discretization of the overdamped Langevin stochastic differential equation associated with $\pi$. For both constant and decreasing step sizes in the Euler discretization, we obtain non-asymptotic bounds for the convergence to the target distribution $\pi$ in total… 

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