论文标题
在非convex设置中修改的未调整的langevin算法的非质子收敛范围
Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting
论文作者
论文摘要
我们考虑从$ \ Mathbb {r}^d $上的高维目标分布$π_β$采样的问题,其密度与$θ\ mapsto e^{ - βu(θ)} $使用显式数值方案成比例成比例,基于langevin stochostrastic nightial earkeation(ssde)。在最近的文献中,在Langevin SDE的超线性增长漂移系数的情况下,提出并研究了驯服和研究作为确保基于Langevin的数值方案的稳定性的方法。特别是,在[Bro+19]中提出了驯服的未调整的Langevin算法(TULA),以从这种目标分布中采样,并具有超线性增长的潜在$ U $的梯度。但是,传统上,假设潜在的$ u $具有强大的凸度,则传统上得出了基于兰格文算法的瓦斯恒星距离的理论保证。在本文中,我们提出了一个新颖的驯服因素并得出了一个新的驯化因素,在具有可能非凸的潜在$ u $和超级线性增长的$ u $,非偶然的梯度,在Wasserstein-1和Wasserstein-2的非偶像理论界限和我们的算法之间的距离之间的距离,我们将其命名为未经修改的damed nated the Inter the Insportion the Intumeped the Intual name tame nastimed the Indection the Indection nastement the Insportion。 $π_β$。我们在Wasserstein-1中获得了相应的收敛率$ \ MATHCAL {O}(λ)$和$ \ Mathcal {O}(λ^{1/2})$在Wasserstein-1中,以及Wasserstein-2距离,用于步骤尺寸$λ$的MTULA误差。提出了支持我们的理论发现的高维数值模拟,以展示我们的算法的适用性。
We consider the problem of sampling from a high-dimensional target distribution $π_β$ on $\mathbb{R}^d$ with density proportional to $θ\mapsto e^{-βU(θ)}$ using explicit numerical schemes based on discretising the Langevin stochastic differential equation (SDE). In recent literature, taming has been proposed and studied as a method for ensuring stability of Langevin-based numerical schemes in the case of super-linearly growing drift coefficients for the Langevin SDE. In particular, the Tamed Unadjusted Langevin Algorithm (TULA) was proposed in [Bro+19] to sample from such target distributions with the gradient of the potential $U$ being super-linearly growing. However, theoretical guarantees in Wasserstein distances for Langevin-based algorithms have traditionally been derived assuming strong convexity of the potential $U$. In this paper, we propose a novel taming factor and derive, under a setting with possibly non-convex potential $U$ and super-linearly growing gradient of $U$, non-asymptotic theoretical bounds in Wasserstein-1 and Wasserstein-2 distances between the law of our algorithm, which we name the modified Tamed Unadjusted Langevin Algorithm (mTULA), and the target distribution $π_β$. We obtain respective rates of convergence $\mathcal{O}(λ)$ and $\mathcal{O}(λ^{1/2})$ in Wasserstein-1 and Wasserstein-2 distances for the discretisation error of mTULA in step size $λ$. High-dimensional numerical simulations which support our theoretical findings are presented to showcase the applicability of our algorithm.