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Adaptive multi-fidelity optimization with fast learning rates Enhancing AI and Dynamical Subseasonal Forecasts with Probabilistic Bias Correction Sample Complexity Bounds for Stochastic Shortest Path with a Generative Model The Harder Path: Last Iterate Convergence for Uncoupled Learning in Zero-Sum Games with Bandit Feedback Stylistic-STORM (ST-STORM) : Perceiving the Semantic Nature of Appearance Collective Kernel EFT for Pre-activation ResNets PRIM-cipal components analysis One-Shot Generative Flows: Existence and Obstructions Structural interpretability in SVMs with truncated orthogonal polynomial kernels Amortized Optimal Transport from Sliced Potentials MinShap: A Modified Shapley Value Approach for Feature Selection Unsupervised feature selection using Bayesian Tucker decomposition Multi-User mmWave Beam and Rate Adaptation via Combinatorial Satisficing Bandits Best of both worlds: Stochastic & adversarial best-arm identification Scalable Model-Based Clustering with Sequential Monte Carlo Expert-Guided Class-Conditional Goodness-of-Fit Scores for Interpretable Classification with Informative Missingness: An Application to Seismic Monitoring Lightweight Geometric Adaptation for Training Physics-Informed Neural Networks Gating Enables Curvature: A Geometric Expressivity Gap in Attention Zeroth-Order Optimization at the Edge of Stability Differentially Private Conformal Prediction CLion: Efficient Cautious Lion Optimizer with Enhanced Generalization Generative Augmented Inference Improving Machine Learning Performance with Synthetic Augmentation PAC-MCTS: Bias-Aware Pruning for Robust LLM-Guided Search and Planning Path-Sampled Integrated Gradients Heat and Matérn Kernels on Matchings Doubly Outlier-Robust Online Infinite Hidden Markov Model Momentum Further Constrains Sharpness at the Edge of Stochastic Stability Multistage Conditional Compositional Optimization BOAT: Navigating the Sea of In Silico Predictors for Antibody Design via Multi-Objective Bayesian Optimization
On the Convergence of Langevin Monte Carlo: The Interplay...
Murat A. Erdogdu, Rasa Hosseinzadeh · 2020-05-27 · via stat.ML updates on arXiv.org

We study sampling from a target distribution ${ν_* = e^{-f}}$ using the unadjusted Langevin Monte Carlo (LMC) algorithm. For any potential function $f$ whose tails behave like ${\|x\|^α}$ for ${α\in [1,2]}$, and has $β$-Hölder continuous gradient, we prove that ${\widetilde{\mathcal{O}} \Big(d^{\frac{1}β+\frac{1+β}β(\frac{2}α - \boldsymbol{1}_{\{α\neq 1\}})} ε^{-\frac{1}β}\Big)}$ steps are sufficient to reach the $ε$-neighborhood of a $d$-dimensional target distribution $ν_*$ in KL-divergence. This convergence rate, in terms of $ε$ dependency, is not directly influenced by the tail growth rate $α$ of the potential function as long as its growth is at least linear, and it only relies on the order of smoothness $β$. One notable consequence of this result is that for potentials with Lipschitz gradient, i.e. $β=1$, our rate recovers the best known rate ${\widetilde{\mathcal{O}}(dε^{-1})}$ which was established for strongly convex potentials in terms of $ε$ dependency, but we show that the same rate is achievable for a wider class of potentials that are degenerately convex at infinity. The growth rate $α$ starts to have an effect on the established rate in high dimensions where $d$ is large; furthermore, it recovers the best-known dimension dependency when the tail growth of the potential is quadratic, i.e. ${α= 2}$, in the current setup. Our framework allows for finite perturbations, and any order of smoothness ${β\in(0,1]}$; consequently, our results are applicable to a wide class of non-convex potentials that are weakly smooth and exhibit at least linear tail growth.