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arXiv · 2003.09906

Complexity of randomized algorithms for underdamped Langevin dynamics

Yu Cao·Jianfeng Lu·Lihan Wang
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Abstract

We establish an information complexity lower bound of randomized algorithms for simulating underdamped Langevin dynamics. More specifically, we prove that the worst $L^2$ strong error is of order $\Omega(\sqrt{d}\, N^{-3/2})$, for solving a family of $d$-dimensional underdamped Langevin dynamics, by any randomized algorithm with only $N$ queries to $\nabla U$, the driving Brownian motion and its weighted integration, respectively. The lower bound we establish matches the upper bound for the randomized midpoint method recently proposed by Shen and Lee [NIPS 2019], in terms of both parameters $N$ and $d$.

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Yu Cao, Jianfeng Lu, Lihan Wang. 2020-03-22. Complexity of randomized algorithms for underdamped Langevin dynamics. https://doi.org/10.4310/cms.2021.v19.n7.a4

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