Stochastic Runge-Kutta Accelerates Langevin Monte Carlo and Beyond

Xuechen Li, Yi Wu, Lester Mackey. Stochastic Runge-Kutta Accelerates Langevin Monte Carlo and Beyond. In Hanna M. Wallach, Hugo Larochelle, Alina Beygelzimer, Florence d'Alché-Buc, Edward A. Fox, Roman Garnett, editors, Advances in Neural Information Processing Systems 32: Annual Conference on Neural Information Processing Systems 2019, NeurIPS 2019, 8-14 December 2019, Vancouver, BC, Canada. pages 7746-7758, 2019. [doi]

Abstract

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