Concept

Law of large numbers

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, , ,

A well-known first-order method for sampling from log-concave probability distributions is the Unadjusted Langevin Algorithm (ULA). This work proposes a new annealing step-size schedule for ULA, which allows to prove new convergence guarantees for sampling ...

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Weighted least squares polynomial approximation uses random samples to determine projections of functions onto spaces of polynomials. It has been shown that, using an optimal distribution of sample locations, the number of samples required to achieve quasi ...

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