Stochastic Runge-Kutta Accelerates Langevin Monte Carlo and Beyond [article]

Xuechen Li, Denny Wu, Lester Mackey, Murat A. Erdogdu
2020 arXiv   pre-print
Sampling with Markov chain Monte Carlo methods often amounts to discretizing some continuous-time dynamics with numerical integration. In this paper, we establish the convergence rate of sampling algorithms obtained by discretizing smooth Itô diffusions exhibiting fast Wasserstein-2 contraction, based on local deviation properties of the integration scheme. In particular, we study a sampling algorithm constructed by discretizing the overdamped Langevin diffusion with the method of stochastic
more » ... ge-Kutta. For strongly convex potentials that are smooth up to a certain order, its iterates converge to the target distribution in 2-Wasserstein distance in Õ(dϵ^-2/3) iterations. This improves upon the best-known rate for strongly log-concave sampling based on the overdamped Langevin equation using only the gradient oracle without adjustment. In addition, we extend our analysis of stochastic Runge-Kutta methods to uniformly dissipative diffusions with possibly non-convex potentials and show they achieve better rates compared to the Euler-Maruyama scheme in terms of the dependence on tolerance ϵ. Numerical studies show that these algorithms lead to better stability and lower asymptotic errors.
arXiv:1906.07868v3 fatcat:txlocvwkdfecxbvz5dvck54qai