The Forward-Backward Envelope for Sampling with the Overdamped Langevin Algorithm
@article{Eftekhari2022TheFE, title={The Forward-Backward Envelope for Sampling with the Overdamped Langevin Algorithm}, author={Armin Eftekhari and Luisa Fernanda Vargas and Konstantinos C. Zygalakis}, journal={ArXiv}, year={2022}, volume={abs/2201.09096} }
In this paper, we analyse a proximal method based on the idea of forward-backward splitting for sampling from distributions with densities that are not necessarily smooth. In particular, we study the nonasymptotic properties of the Euler-Maruyama discretization of the Langevin equation, where the forward-backward envelope is used to deal with the non-smooth part of the dynamics. An advantage of this envelope, when compared to widely-used Moreu-Yoshida one and the MYULA algorithm, is that it…
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