Sampling from a log-concave distribution with compact support with proximal Langevin Monte Carlo.
Nicolas BrosseAlain DurmusEric MoulinesMarcelo PereyraPublished in: COLT (2017)
Keyphrases
- monte carlo
- importance sampling
- adaptive sampling
- markov chain
- monte carlo simulation
- particle filter
- monte carlo methods
- optimal strategy
- simulation study
- markov chain monte carlo
- monte carlo tree search
- stochastic approximation
- markovian decision
- variance reduction
- monte carlo method
- global illumination
- temporal difference
- confidence intervals
- latent variables
- machine learning