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Special Colloquium (Data Science): Towards a theory of complexity of sampling, inspired by optimizationSpecial Events
|Speaker:||Sinho Chewi, MIT|
|Start time:||Fri, Jan 13 2023, 3:10PM|
Sampling is a fundamental and widespread algorithmic primitive that lies at the heart of Bayesian inference and scientific computing, among other disciplines. Recent years have seen a flood of works aimed at laying down the theoretical underpinnings of sampling, in analogy to the fruitful and widely used theory of convex optimization. In this talk, I will discuss some of my work in this area, focusing on new convergence guarantees obtained via a proximal algorithm for sampling, as well as a new framework for studying the complexity of non-log-concave sampling.