BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//MIT Statistics and Data Science Center - ECPv5.12.2//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:MIT Statistics and Data Science Center
X-ORIGINAL-URL:https://stat.mit.edu
X-WR-CALDESC:Events for MIT Statistics and Data Science Center
BEGIN:VTIMEZONE
TZID:America/New_York
BEGIN:DAYLIGHT
TZOFFSETFROM:-0500
TZOFFSETTO:-0400
TZNAME:EDT
DTSTART:20180311T070000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0400
TZOFFSETTO:-0500
TZNAME:EST
DTSTART:20181104T060000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20180216T110000
DTEND;TZID=America/New_York:20180216T120000
DTSTAMP:20220128T114108
CREATED:20171206T225530Z
LAST-MODIFIED:20180212T194457Z
UID:2230-1518778800-1518782400@stat.mit.edu
SUMMARY:User-friendly guarantees for the Langevin Monte Carlo
DESCRIPTION:Abstract: In this talk\, I will revisit the recently established theoretical guarantees for the convergence of the Langevin Monte Carlo algorithm of sampling from a smooth and (strongly) log-concave density. I will discuss the existing results when the accuracy of sampling is measured in the Wasserstein distance and provide further insights on relations between\, on the one hand\, the Langevin Monte Carlo for sampling and\, on the other hand\, the gradient descent for optimization. I will also present non-asymptotic guarantees for the accuracy of a version of the Langevin Monte Carlo algorithm that is based on inaccurate evaluations of the gradient. Finally\, I will propose a variable-step version of the Langevin Monte Carlo algorithm that has two advantages. First\, its step-sizes are independent of the target accuracy and\, second\, its rate provides a logarithmic improvement over the constant-step Langevin Monte Carlo algorithm.\nThis is a joint work with A. Karagulyan \n Biography: \nPersonal Website: http://www.arnak-dalalyan.fr/ \nArnak Dalalyan is a full professor of Statistics at ENSAE-CREST. He obtained his PhD (2001) from Le Mans University on Statistics for Random Processes. He was a postdoctoral fellow (2002–03) at the Humboldt University of Berlin\, an assistant professor (2003–08) at Paris 6 University and a research professor at ENPC (2008–2011). Arnak’s research focuses on high dimensional statistics\, statistics of diffusion processes and statistical learning theory. Presently\, he is an associate editor of Electronic Journal of Statistics\, Statistical Inference for Stochastic Processes and Journal of the Japan Statistical Society. Arnak is also regularly serving in the programme committees of machine learning conferences COLT and NIPS. He is a member of the Bernoulli Society council.
URL:https://stat.mit.edu/calendar/stochastic-statistics-seminar-arnak-dalalyan-enseacrest/
LOCATION:E18-304\, United States
CATEGORIES:Stochastics and Statistics Seminar
GEO:42.3620185;-71.0878444
END:VEVENT
END:VCALENDAR