Riemannian Langevin algorithm for solving semidefinite programs
Author:
Affiliation:
1. Department of Statistical Sciences, University of Toronto, Toronto, Canada
2. Department of Computer Science and Department of Statistical Sciences, University of Toronto, Toronto, Canada
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Subject
Statistics and Probability
Reference74 articles.
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2. Bakry, D. and Émery, M. (1985). Diffusions hypercontractives. In Séminaire de Probabilités, XIX, 1983/84. Lecture Notes in Math. 1123 177–206. Berlin: Springer. 10.1007/BFb0075847
3. Dalalyan, A.S. and Karagulyan, A. (2019). User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient. Stochastic Process. Appl. 129 5278–5311. 10.1016/j.spa.2019.02.016
4. Durmus, A. and Moulines, É. (2017). Nonasymptotic convergence analysis for the unadjusted Langevin algorithm. Ann. Appl. Probab. 27 1551–1587. 10.1214/16-AAP1238
5. Holley, R. and Stroock, D. (1987). Logarithmic Sobolev inequalities and stochastic Ising models. J. Stat. Phys. 46 1159–1194. 10.1007/BF01011161
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