Robust SGLD algorithm for solving non-convex distributionally robust
optimisation problems
Robust SGLD algorithm for solving non-convex distributionally robust
optimisation problems
In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD) algorithm tailored for solving a certain class of non-convex distributionally robust optimisation problems. By deriving non-asymptotic convergence bounds, we build an algorithm which for any prescribed accuracy $\varepsilon>0$ outputs an estimator whose expected excess risk is at most $\varepsilon$. …