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Accurate Large-sample Uncertainty Quantification using Stochastic Gradient Markov Chain Monte Carlo

arXiv cs.LG · 5d ago Cached

This paper proposes new discrete-time approximations for stochastic gradient Langevin dynamics (SGLD) with and without momentum, enabling accurate predictions of stationary covariance, iterate average covariance, and integrated autocorrelation time. The method provides improved tuning guidance for large-sample uncertainty quantification, especially under model misspecification.

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