Convergence of the Riemannian Langevin Algorithm
From MaRDI portal
Publication:6397231
arXiv2204.10818MaRDI QIDQ6397231FDOQ6397231
Authors: Khashayar Gatmiry, Santosh S. Vempala 
Publication date: 22 April 2022
Abstract: We study the Riemannian Langevin Algorithm for the problem of sampling from a distribution with density with respect to the natural measure on a manifold with metric . We assume that the target density satisfies a log-Sobolev inequality with respect to the metric and prove that the manifold generalization of the Unadjusted Langevin Algorithm converges rapidly to for Hessian manifolds. This allows us to reduce the problem of sampling non-smooth (constrained) densities in to sampling smooth densities over appropriate manifolds, while needing access only to the gradient of the log-density, and this, in turn, to sampling from the natural Brownian motion on the manifold. Our main analytic tools are (1) an extension of self-concordance to manifolds, and (2) a stochastic approach to bounding smoothness on manifolds. A special case of our approach is sampling isoperimetric densities restricted to polytopes by using the metric defined by the logarithmic barrier.
This page was built for publication: Convergence of the Riemannian Langevin Algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6397231)
