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arXiv · 1903.08568

Rapid Convergence of the Unadjusted Langevin Algorithm: Isoperimetry Suffices

Santosh S. Vempala·Andre Wibisono
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Abstract

We study the Unadjusted Langevin Algorithm (ULA) for sampling from a probability distribution $\nu = e^{-f}$ on $\mathbb{R}^n$. We prove a convergence guarantee in Kullback-Leibler (KL) divergence assuming $\nu$ satisfies a log-Sobolev inequality and the Hessian of $f$ is bounded. Notably, we do not assume convexity or bounds on higher derivatives. We also prove convergence guarantees in R\'enyi divergence of order $q > 1$ assuming the limit of ULA satisfies either the log-Sobolev or Poincar\'e inequality. We also prove a bound on the bias of the limiting distribution of ULA assuming third-order smoothness of $f$, without requiring isoperimetry.

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BibTeXRIS

Santosh S. Vempala, Andre Wibisono. 2019-03-20. Rapid Convergence of the Unadjusted Langevin Algorithm: Isoperimetry Suffices. https://arxiv.org/abs/1903.08568

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