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Corpus ID: 221640862

On polynomial-time computation of high-dimensional posterior measures by Langevin-type algorithms

@article{Nickl2020OnPC,
title={On polynomial-time computation of high-dimensional posterior measures by Langevin-type algorithms},
author={R. Nickl and Sven Wang},
journal={ArXiv},
year={2020},
volume={abs/2009.05298}
}

The problem of generating random samples of high-dimensional posterior distributions is considered. The main results consist of non-asymptotic computational guarantees for Langevin-type MCMC algorithms which scale polynomially in key quantities such as the dimension of the model, the desired precision level, and the number of available statistical measurements. As a direct consequence, it is shown that posterior mean vectors as well as optimisation based maximum a posteriori (MAP) estimates are… Expand