Lingjiong Zhu

Variance Reduction for Stochastic Gradient Generalized Non-reversible Langevin Monte Carlo Algorithms

Bingye Ni, Xiaoyu Wang, Yingli Wang, Lingjiong Zhu

We study the leading-order fluctuation of stochastic gradient Euler-Maruyama estimators for generalized non-reversible Langevin dynamics. Under structural assumptions tailored to the small-stepsize central limit theorem and under an unbiased stochastic gradient oracle, we prove t…Read more