Tamed Langevin sampling under weaker conditions

Iosif Lytras, Panayotis Mertikopoulos

Abstract: Motivated by applications to deep learning which often fail standard Lipschitz smoothness requirements, we examine the problem of sampling from distributions that are not log-concave and are only weakly dissipative, with log-gradients allowed to grow superlinearly at infinity. In terms of structure, we only assume that the target distribution satisfies either a Log-Sobolev or a Poincare inequality and a local Lipschitz smoothness assumption with modulus growing possibly polynomially at infinity. This set of assumptions greatly exceeds the operational limits of the "vanilla" ULA, making sampling from such distributions a highly involved affair. To account for this, we introduce a taming scheme which is tailored to the growth and decay properties of the target distribution, and we provide explicit non-asymptotic guarantees for the proposed sampler in terms of the KL divergence, total variation, and Wasserstein distance to the target distribution.

Submission Number: 295