Geometric ergodicity of SGLD via reflection coupling

Ergodicity, mixing, rates of mixing (37A25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Reflection couplings and contraction rates for diffusions
Reflection coupling and Wasserstein contractivity without convexity
Coupling of multidimensional diffusions by reflection
Vlasov equations
Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality
Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
Optimum bounds for the distributions of martingales in Banach spaces
Semigroups of stochastic gradient descent and online principal component analysis: properties and diffusion approximations
Two-scale coupling for preconditioned Hamiltonian Monte Carlo in infinite dimensions
Random batch methods (RBM) for interacting particle systems
Couplings and quantitative contraction rates for Langevin dynamics
L\({}^ p\) estimates on iterated stochastic integrals
Coupling and convergence for Hamiltonian Monte Carlo
Nonasymptotic bounds for sampling algorithms without log-concavity
Nonasymptotic estimates for stochastic gradient Langevin dynamics under local conditions in nonconvex optimization
Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes
High-Dimensional Probability
An elementary approach to uniform in time propagation of chaos
On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case
A Stochastic Approximation Method
Optimal Transport

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