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We study the underdamped Langevin diffusion when the log of the target distribution is smooth and strongly concave.
Note on the derivatives with respect to a parameter of the solutions of a system of differential equations
Thomas H. Gronwall · 1919
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Brownian motion in a field of force and the diffusion model of chemical reactions
Hendrik A. Kramers · 1940
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Some methods of speeding up the convergence of iteration methods
Boris T Polyak · 1964
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A method of solving a convex programming problem with convergence rate 𝒪 ( 1 / k 2 ) \mathcal{O}(1/k^{2})
Yurii Nesterov · 1983
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Recursive stochastic algorithms for global optimization in ℝ d \mathbb{R}^{d}
Saul B Gelfand and Sanjoy K Mitter · 1991
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Exponential convergence of Langevin distributions and their discrete approximations
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Wasserstein contraction properties for hypoelliptic diffusions
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A variational perspective on accelerated methods in optimization
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