Slide 69
Slide 69 text
Posterior sampling with Langevin Algorithms
Convergence of inexact Unadjusted Langevin Algorithm (iULA)
p
Xk+1 = Xk − γb(Xk ) + 2γZk+1
Two important notions
1 Invariant law: there exists µ such that if X0 ∼ µ, then ∀k ≥ 0, Xk ∼ µ
2 Geometric ergodicity: For pXk the law of Xk , ∃A ≥ 0, ρ ∈ (0, 1) and an invariant law µ
W1 (pXk , µ) ≤ Aρk
Sufficient conditions on the drift b for Xk to be geometrically ergodic:
• b is L-Lipschitz, i.e. ∀x, y ∈ Rd , ∥b(x) − b(y )∥ ≤ L∥x − y ∥
• ∃R, m > 0 such that ∀x, y ∈ Rd with ∥x − y ∥ ≥ R, ⟨b(x) − b(y ), x − y ⟩ ≥ m∥x − y ∥2
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