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Analysis of Langevin Monte Carlo from Poincaré to Log-Sob...
Sinho Chewi, Murat A. Erdogdu, Mufan Bill Li, Ruoqi Shen, Matthe · 2021-12-23 · via stat.ML updates on arXiv.org

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.