On the Convergence of Langevin Monte Carlo: The Interplay between Tail Growth and Smoothness

27 May 2020 Murat A. Erdogdu Rasa Hosseinzadeh

We study sampling from a target distribution ${\nu_* = e^{-f}}$ using the unadjusted Langevin Monte Carlo (LMC) algorithm. For any potential function $f$ whose tails behave like ${\|x\|^\alpha}$ for ${\alpha \in [1,2]}$, and has $\beta$-H\"older continuous gradient, we prove that ${\widetilde{\mathcal{O}} \Big(d^{\frac{1}{\beta}+\frac{1+\beta}{\beta}(\frac{2}{\alpha} - \boldsymbol{1}_{\{\alpha \neq 1\}})} \epsilon^{-\frac{1}{\beta}}\Big)}$ steps are sufficient to reach the $\epsilon $-neighborhood of a $d$-dimensional target distribution $\nu_*$ in KL-divergence... (read more)

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