Approximation to Stochastic Variance Reduced Gradient Langevin Dynamics by Stochastic Delay Differential Equations
نویسندگان
چکیده
We study in this paper weak approximations Wasserstein-1 distance to stochastic variance reduced gradient Langevin dynamics by delay differential equations, and obtain uniform error bounds. Our approach is via Malliavin calculus a refined Lindeberg principle.
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2022
ISSN: ['0095-4616', '1432-0606']
DOI: https://doi.org/10.1007/s00245-022-09854-3