On stochastic mirror descent with interacting particles: Convergence properties and variance reduction

Author:

Borovykh A.,Kantas N.,Parpas P.,Pavliotis G.A.

Funder

JPMorgan Chase and Company

Engineering and Physical Sciences Research Council

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistical and Nonlinear Physics

Reference51 articles.

1. SGD: General analysis and improved rates;Gower,2019

2. On the convergence of gradient-like flows with noisy gradient input;Mertikopoulos;SIAM J. Optim.,2018

3. Stochastic mirror descent dynamics and their convergence in monotone variational inequalities;Mertikopoulos;J. Optim. Theory Appl.,2018

4. Don’t decay the learning rate, increase the batch size;Smith,2017

5. Problem complexity and method efficiency in optimization;Nemirovsky,1983

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1. Dimension reduction of noisy interacting systems;Physical Review Research;2023-02-03

2. Derivative-Free Bayesian Inversion Using Multiscale Dynamics;SIAM Journal on Applied Dynamical Systems;2022-01-24

3. Consensus‐based sampling;Studies in Applied Mathematics;2022-01-05

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