The Langevin Monte Carlo algorithm in the non-smooth log-concave case
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We prove non-asymptotic polynomial bounds on the convergence of the Langevin Monte Carlo algorithmin the case where the potential is a convex function which is globally Lipschitz on its domain, typically the maximum of a finite number of affine functions onan arbitrary convex set. In particular the potential is not assumed to be gradient Lipschitz,in contrast with most (if not all) existing works on the topic.
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