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06/14/2023
Contraction Rate Estimates of Stochastic Gradient Kinetic Langevin Integrators
In previous work, we introduced a method for determining convergence rat...
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05/31/2023
Estimation of Multivariate Discrete Hawkes Processes: An Application to Incident Monitoring
Hawkes processes are a class of self-exciting point processes that are u...
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02/21/2023
Contraction and Convergence Rates for Discretized Kinetic Langevin Dynamics
We provide a framework to prove convergence rates for discretizations of...
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06/09/2022
Randomized Time Riemannian Manifold Hamiltonian Monte Carlo
Hamiltonian Monte Carlo (HMC) algorithms which combine numerical approxi...
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12/01/2021
On Mixing Times of Metropolized Algorithm With Optimization Step (MAO) : A New Framework
In this paper, we consider sampling from a class of distributions with t...
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05/23/2019
Efficient MCMC Sampling with Dimension-Free Convergence Rate using ADMM-type Splitting
Performing exact Bayesian inference for complex models is intractable. M...
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09/13/2018
Hamiltonian Descent Methods
We propose a family of optimization methods that achieve linear converge...
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08/13/2018