Rapid Convergence of the Unadjusted Langevin Algorithm: Isoperimetry Suffices

arXiv1903.08568MaRDI QIDQ6315946FDOQ6315946

Authors: Santosh S. Vempala, Andre Wibisono 

Publication date: 20 March 2019

Abstract: We study the Unadjusted Langevin Algorithm (ULA) for sampling from a probability distribution $u=e^{-f}$ on $mathbb{R}^n$. We prove a convergence guarantee in Kullback-Leibler (KL) divergence assuming $u$ 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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