New RSLMC sampling algorithms achieve uniform-in-time W2 error bounds of order O(sqrt(d) h) under gradient Lipschitz and log-Sobolev assumptions, with modified versions for superlinear gradient growth and supporting numerical examples.
Higher order Langevin Monte Carlo algorithm.Electronic Journal of Statistics, 13:3805–3850, 2019
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When Langevin Monte Carlo Meets Randomization: New Sampling Algorithms with Non-asymptotic Error Bounds beyond Log-Concavity and Gradient Lipschitzness
New RSLMC sampling algorithms achieve uniform-in-time W2 error bounds of order O(sqrt(d) h) under gradient Lipschitz and log-Sobolev assumptions, with modified versions for superlinear gradient growth and supporting numerical examples.