Analysis of Langevin Monte Carlo from Poincaré to Log-Sobolev

2. Červenec 2022

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O prezentaci

Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution π under the sole assumption that π satisfies a Poincaré inequality. Using this fact to provide guarantees for the discrete-time Langevin Monte Carlo (LMC) algorithm, however, is considerably more challenging due to the need for working with chi-squared or Rényi divergences, and prior works have largely focused on strongly log-concave targets. In this work, we provide the first convergence guarantees for LMC assuming that π satisfies either a Latała–Oleszkiewicz or modified log-Sobolev inequality, which interpolates between the Poincaré and log-Sobolev settings. Unlike prior works, our results allow for weak smoothness and do not require convexity or dissipativity conditions.

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The conference is held annually since 1988 and has become the leading conference on Learning theory by maintaining a highly selective process for submissions. It is committed in high-quality articles in all theoretical aspects of machine learning and related topics.

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