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Efficient constrained sampling via the mirror-Langevin algorithm
Kwangjun Ahn · Sinho Chewi

Wed Dec 08 04:30 PM -- 06:00 PM (PST) @

We propose a new discretization of the mirror-Langevin diffusion and give a crisp proof of its convergence. Our analysis uses relative convexity/smoothness and self-concordance, ideas which originated in convex optimization, together with a new result in optimal transport that generalizes the displacement convexity of the entropy. Unlike prior works, our result both (1) requires much weaker assumptions on the mirror map and the target distribution, and (2) has vanishing bias as the step size tends to zero. In particular, for the task of sampling from a log-concave distribution supported on a compact set, our theoretical results are significantly better than the existing guarantees.

Author Information

Kwangjun Ahn (MIT)
Sinho Chewi (Massachusetts Institute of Technology)

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