[Colloquium] REMINDER: 11/25 TTIC Colloquium: Jelena Diakonikolas, Berkeley

[Alicia McClarin]

*When:*      Monday, November 25th at 11:00am



*Where:*     TTIC, 6045 S. Kenwood Avenue, 5th Floor, Room 526



*Who: *       Jelena Diakonikolas, Berkeley


*Title:        *Langevin Monte Carlo Without Smoothness

*Abstract:  *Langevin Monte Carlo (LMC) is an iterative algorithm used to
generate samples from a distribution that is known only up to a normalizing
constant. The nonasymptotic dependence of its mixing time on the dimension
and target accuracy is understood mainly in the setting of smooth
(gradient-Lipschitz) log-densities, a serious limitation for applications
in machine learning. We remove this limitation by providing polynomial-time
convergence guarantees for a variant of LMC in the setting of non-smooth
log-concave distributions. At a high level, our results follow by
leveraging the implicit smoothing of the log-density that comes from a
small Gaussian perturbation that we add to the iterates of the algorithm
and while controlling the bias and variance that are induced by this
perturbation.

Based on joint work with Niladri Chatterji, Michael I. Jordan, and Peter L.
Bartlett.

*Bio:*  Jelena Diakonikolas is a Postdoctoral Fellow at the Foundations of
Data Analysis Institute at UC Berkeley, where she primarily works with
Michael I. Jordan. She will be joining UW-Madison as an assistant professor
in January 2020. She completed her Ph.D. degree in electrical engineering
at Columbia University in 2016. Her research interests include large-scale
optimization algorithms, connections between optimization and dynamical
systems, and applications in machine learning and networked systems. She is
a recipient of a 2018 Microsoft Simons-Berkeley Research Fellowship, the
2017 Morton B. Friedman Prize for Excellence at Columbia Engineering, and a
2015 Qualcomm Innovation Fellowship.

*Host:*  Nati Srebro <nati at ttic.edu>


For more information on the colloquium series or to subscribe to the
mailing list, please see http://www.ttic.edu/colloquium.php.

-- 
*Alicia McClarin*
*Toyota Technological Institute at Chicago*
*6045 S. Kenwood Ave., **Office 518*
*Chicago, IL 60637*
*773-834-3321*
*www.ttic.edu* <http://www.ttic.edu/>
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