mlsanityData to 7 Oct 2026

Constrained Ensemble Langevin Monte Carlo

arXiv 2102.04279 ↗First posted 8 Feb 2021stat.ML cs.LG cs.NAcited by 1

Not on the map. Why?

Abstract (arXiv)

The classical Langevin Monte Carlo method looks for samples from a target distribution by descending the samples along the gradient of the target distribution. The method enjoys a fast convergence rate. However, the numerical cost is sometimes high because each iteration requires the computation of a gradient. One approach to eliminate the gradient computation is to employ the concept of ``ensemble." A large number of particles are evolved together so the neighboring particles provide gradient information to each other. In this article, we discuss two algorithms that integrate the ensemble feature into LMC and the associated properties. In particular, we find that if one directly surrogates the gradient using the ensemble approximation, the algorithm, termed Ensemble Langevin Monte Carlo, is unstable due to a high variance term. If the gradients are replaced by the ensemble approximations only in a constrained manner, to protect from the unstable points, the algorithm, termed Constrained Ensemble Langevin Monte Carlo, resembles the classical LMC up to an ensemble error but removes most of the gradient computation.

Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). Builds on 11 of its 43 references that are in the map. First posted on arXiv 8 Feb 2021.

Builds on

11 of 43 references.

References · 11

  1. 2019Rapid Convergence of the Unadjusted Langevin Algorithm: Isoperimetry Sufficescited by 224
  2. 2014Theoretical guarantees for approximate sampling from smooth and log-concave densitiescited by 206
  3. 2015Non-asymptotic convergence analysis for the Unadjusted Langevin Algorithmcited by 195
  4. 2018Analysis of Langevin Monte Carlo via convex optimizationcited by 126
  5. 2018Log-concave sampling: Metropolis-Hastings algorithms are fastcited by 117
  6. 2017User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradientcited by 116
  7. 2018On sampling from a log-concave density using kinetic Langevin diffusionscited by 61
  8. 2018On the Theory of Variance Reduction for Stochastic Gradient Monte Carlocited by 19
  9. 2016Ensemble preconditioning for Markov chain Monte Carlo simulationcited by 16
  10. 2019MALA-within-Gibbs samplers for high-dimensional distributions with sparse conditional structurecited by 8
  11. 2019Continuous Limits for Constrained Ensemble Kalman Filtercited by 3

Built on by

Cited by year

Citing papers per year: 2025: 1.

1 paper.