A connection between Tempering and Entropic Mirror Descent

arXiv:2310.11914v2 Announce Type: replace-cross
Abstract: This paper explores the connections between tempering (for Sequential Monte Carlo; SMC) and entropic mirror descent to sample from a target probability distribution whose unnormalized density is known. We establish that tempering SMC corresponds to entropic mirror descent applied to the reverse Kullback-Leibler (KL) divergence and obtain convergence rates for the tempering iterates. Our result motivates the tempering iterates from an optimization point of view, showing that tempering can be seen as a descent scheme …

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