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Theoretical guarantees for approximate sampling from smooth and log-concave densities

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  • Arnak S. Dalalyan

    (ENSAE ParisTech)

Abstract

Sampling from various kinds of distributions is an issue of paramount importance in statistics since it is often the key ingredient for constructing estimators, test procedures or confidence intervals. In many situations, the exact sampling from a given distribution is impossible or computationally expensive and, therefore, one needs to resort to approximate sampling strategies. However, there is no well-developed theory providing meaningful nonasymptotic guarantees for the approximate sampling procedures, especially in the high-dimensional problems. This paper makes some progress in this direction by considering the problem of sampling from a distribution having a smooth and log-concave density defined on Rp, for some integer p > 0. We establish nonasymptotic bounds for the error of approximating the true distribution by the one obtained by the Langevin Monte Carlo method and its variants. We illustrate the effectiveness of the established guarantees with various experiments. Underlying our analysis are insights from the theory of continuous-time diffusion processes, which may be of interest beyond the framework of distributions with log-concave densities considered in the present work.

Suggested Citation

  • Arnak S. Dalalyan, 2014. "Theoretical guarantees for approximate sampling from smooth and log-concave densities," Working Papers 2014-45, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2014-45
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    References listed on IDEAS

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    1. Jarner, Søren Fiig & Hansen, Ernst, 2000. "Geometric ergodicity of Metropolis algorithms," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 341-361, February.
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    3. Xifara, T. & Sherlock, C. & Livingstone, S. & Byrne, S. & Girolami, M., 2014. "Langevin diffusions and the Metropolis-adjusted Langevin algorithm," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 14-19.
    4. Mark Girolami & Ben Calderhead, 2011. "Riemann manifold Langevin and Hamiltonian Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(2), pages 123-214, March.
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    Cited by:

    1. Ruben Loaiza-Maya & Didier Nibbering & Dan Zhu, 2023. "Hybrid unadjusted Langevin methods for high-dimensional latent variable models," Papers 2306.14445, arXiv.org.
    2. Crespo, Marelys & Gadat, Sébastien & Gendre, Xavier, 2023. "Stochastic Langevin Monte Carlo for (weakly) log-concave posterior distributions," TSE Working Papers 23-1398, Toulouse School of Economics (TSE).
    3. Tung Duy Luu & Jalal Fadili & Christophe Chesneau, 2021. "Sampling from Non-smooth Distributions Through Langevin Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1173-1201, December.
    4. Denis Belomestny & Leonid Iosipoi, 2019. "Fourier transform MCMC, heavy tailed distributions and geometric ergodicity," Papers 1909.00698, arXiv.org, revised Dec 2019.
    5. Gadat, Sébastien & Panloup, Fabien & Pellegrini, C., 2020. "On the cost of Bayesian posterior mean strategy for log-concave models," TSE Working Papers 20-1155, Toulouse School of Economics (TSE), revised Feb 2022.
    6. Brosse, Nicolas & Durmus, Alain & Moulines, Éric & Sabanis, Sotirios, 2019. "The tamed unadjusted Langevin algorithm," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 3638-3663.
    7. M. Barkhagen & S. García & J. Gondzio & J. Kalcsics & J. Kroeske & S. Sabanis & A. Staal, 2023. "Optimising portfolio diversification and dimensionality," Journal of Global Optimization, Springer, vol. 85(1), pages 185-234, January.
    8. Belomestny, Denis & Iosipoi, Leonid, 2021. "Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 351-363.
    9. Yang, Jun & Roberts, Gareth O. & Rosenthal, Jeffrey S., 2020. "Optimal scaling of random-walk metropolis algorithms on general target distributions," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6094-6132.
    10. Loaiza-Maya, Rubén & Nibbering, Didier & Zhu, Dan, 2024. "Hybrid unadjusted Langevin methods for high-dimensional latent variable models," Journal of Econometrics, Elsevier, vol. 241(2).
    11. Vincent Lemaire & Gilles Pag`es & Christian Yeo, 2023. "Swing contract pricing: with and without Neural Networks," Papers 2306.03822, arXiv.org, revised Mar 2024.
    12. Villeneuve, Stéphane & Bolte, Jérôme & Miclo, Laurent, 2022. "Swarm gradient dynamics for global optimization: the mean-field limit case," TSE Working Papers 22-1302, Toulouse School of Economics (TSE).
    13. Chau, Huy N. & Rásonyi, Miklós, 2022. "Stochastic Gradient Hamiltonian Monte Carlo for non-convex learning," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 341-368.
    14. Samuel Livingstone & Giacomo Zanella, 2022. "The Barker proposal: Combining robustness and efficiency in gradient‐based MCMC," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 496-523, April.
    15. Tengyuan Liang & Weijie J. Su, 2019. "Statistical inference for the population landscape via moment‐adjusted stochastic gradients," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 81(2), pages 431-456, April.
    16. Dalalyan, Arnak S. & Karagulyan, Avetik, 2019. "User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5278-5311.
    17. Menz, Georg & Schlichting, André & Tang, Wenpin & Wu, Tianqi, 2022. "Ergodicity of the infinite swapping algorithm at low temperature," Stochastic Processes and their Applications, Elsevier, vol. 151(C), pages 519-552.
    18. Arnak Dalalyan, 2017. "Further and stronger analogy between sampling and optimization: Langevin Monte Carlo and gradient descent," Working Papers 2017-21, Center for Research in Economics and Statistics.

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