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Abstract: This paper addresses the problem of approximating an unknown probability distribution with density $f$ - which can only be evaluated up to an unknown scaling factor - with the help of a sequential algorithm that produces at each iteration $n\geq 1$ an estimated density $q_n$. The proposed method optimizes the Kullback-Leibler divergence using a mirror descent (MD) algorithm directly on the space of density functions, while a stochastic approximation technique helps to manage between algorithm complexity and variability. One of the key innovations of this work is the theoretical guarantee that is provided for an algorithm with a fixed MD learning rate \(\eta \in (0,1 )\). The main result is that the sequence \(q_n\) converges almost surely to the target density \(f\) uniformly on compact sets. Through numerical experiments, we show that fixing the learning rate \(\eta \in (0,1 )\) significantly improves the algorithm's performance, particularly in the context of multi-modal target distributions where a small value of $\eta$ allows to increase the chance of finding all modes. Additionally, we propose a particle subsampling method to enhance computational efficiency and compare our method against other approaches through numerical experiments.