The Randomized Midpoint Method for Log-Concave Sampling

arXiv1909.05503MaRDI QIDQ6325156FDOQ6325156

Authors: Ruoqi Shen, Yin Tat Lee 

Publication date: 12 September 2019

Abstract: Sampling from log-concave distributions is a well researched problem that has many applications in statistics and machine learning. We study the distributions of the form $p^{\ast }proptoexp(-f(x))$, where $f:mathbb{R}^{d}ightarrowmathbbR$ has an $L$-Lipschitz gradient and is $m$-strongly convex. In our paper, we propose a Markov chain Monte Carlo (MCMC) algorithm based on the underdamped Langevin diffusion (ULD). It can achieve $epsiloncdotD$ error (in 2-Wasserstein distance) in $ildeOleft(kapp{a}^{7/6}/epsilo{n}^{1/3}+kappa/epsilo{n}^{2/3}ight)$ steps, where $Doversetmathrmdef=sqrtfracdm$ is the effective diameter of the problem and $kappaoversetmathrmdef=fracLm$ is the condition number. Our algorithm performs significantly faster than the previously best known algorithm for solving this problem, which requires $ildeOleft(kapp{a}^{1.5}/epsilonight)$ steps. Moreover, our algorithm can be easily parallelized to require only $O(kappalogfrac1epsilon)$ parallel steps. To solve the sampling problem, we propose a new framework to discretize stochastic differential equations. We apply this framework to discretize and simulate ULD, which converges to the target distribution $p^{\ast }$. The framework can be used to solve not only the log-concave sampling problem, but any problem that involves simulating (stochastic) differential equations.

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