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  • Title: Convergence Rates for the Constrained Sampling via Langevin Monte Carlo.
    Author: Zhu Y.
    Journal: Entropy (Basel); 2023 Aug 18; 25(8):. PubMed ID: 37628264.
    Abstract:
    Sampling from constrained distributions has posed significant challenges in terms of algorithmic design and non-asymptotic analysis, which are frequently encountered in statistical and machine-learning models. In this study, we propose three sampling algorithms based on Langevin Monte Carlo with the Metropolis-Hastings steps to handle the distribution constrained within some convex body. We present a rigorous analysis of the corresponding Markov chains and derive non-asymptotic upper bounds on the convergence rates of these algorithms in total variation distance. Our results demonstrate that the sampling algorithm, enhanced with the Metropolis-Hastings steps, offers an effective solution for tackling some constrained sampling problems. The numerical experiments are conducted to compare our methods with several competing algorithms without the Metropolis-Hastings steps, and the results further support our theoretical findings.
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