Further and stronger analogy between sampling and optimization: Langevin Monte Carlo and gradient descent

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Criteria for recurrence and existence of invariant measures for multidimensional diffusions
R. N. Bhattacharya · 1978
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Convex optimization
S. Boyd and L. Vandenberghe · 2004
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Fast algorithms for logconcave functions: Sampling, rounding, integration and optimization
L. Lovász and S. Vempala · 2006
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Sampling from a log-concave distribution with Projected Langevin Monte Carlo
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Sampling from convex non continuously differentiable functions, when Moreau meets Langevin
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