Sampling can be faster than optimization

• Published in: Proceedings of the National Academy of Sciences - PNAS Vol. 116; no. 42; pp. 20881 - 20885
• Main Authors: Ma, Yi-An, Chen, Yuansi, Jin, Chi, Flammarion, Nicolas, Jordan, Michael I.
• Format: Journal Article
• Language: English
• Published: United States National Academy of Sciences 15.10.2019
• Subjects: Algorithms; Computer applications; Computer simulation; Learning algorithms; Machine learning; Optimization; Optimization algorithms; Physical Sciences; Sampling; Langevin Monte Carlo; nonconvex optimization; computational complexity

Optimization algorithms and Monte Carlo sampling algorithms have provided the computational foundations for the rapid growth in applications of statistical machine learning in recent years. There is, however, limited theoretical understanding of the relationships between these 2 kinds of methodology...