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arXiv (Cornell University)
Faster Sampling via Stochastic Gradient Proximal Sampler
May 2024 • Xunpeng Huang, Difan Zou, Yi-An Ma, Hanze Dong, Tong Zhang
Stochastic gradients have been widely integrated into Langevin-based methods to improve their scalability and efficiency in solving large-scale sampling problems. However, the proximal sampler, which exhibits much faster convergence than Langevin-based algorithms in the deterministic setting Lee et al. (2021), has yet to be explored in its stochastic variants. In this paper, we study the Stochastic Proximal Samplers (SPS) for sampling from non-log-concave distributions. We first establish a general framework for i…
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