A. Della Noce

Analysis of a zeroth-order multiscale sampler: strong convergence, convergence of ergodic averages and weak convergence

In many practical applications of Bayesian inference, it is difficult or undesirable to compute the gradient of the negative log-posterior, motivating the study of derivative-free samplers, also called zeroth-order samplers. The aim of this paper is to generalize and rigorously analyze a multiscale derivative-free samp...