SULA: Robust Langevin Sampling via Drift-Diffusion Saturation
The unadjusted Langevin algorithm (ULA) and its stochastic-gradient variant, SGLD, are workhorses of modern Bayesian machine learning, but can be fragile when faced with a target distribution possessing a non-Lipschitz drift. In such settings, the expected squared jump distance can grow rapidly, leading to numerical in...