On the Ergodicity, Bias and Asymptotic Normality of Randomized Midpoint Sampling Method

• URL: http://arxiv.org/abs/2011.03176v2
• Date: Fri, 10 Sep 2021 23:12:51 GMT
• Title: On the Ergodicity, Bias and Asymptotic Normality of Randomized Midpoint Sampling Method
• Authors: Ye He, Krishnakumar Balasubramanian, Murat A. Erdogdu
• Abstract summary: The randomized diffusion method, proposed by [SL19], has emerged as an optimal discretization procedure for simulating the continuous time Langevin Langevin.
• Score: 18.541857410928387
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The randomized midpoint method, proposed by [SL19], has emerged as an optimal discretization procedure for simulating the continuous time Langevin diffusions. Focusing on the case of strong-convex and smooth potentials, in this paper, we analyze several probabilistic properties of the randomized midpoint discretization method for both overdamped and underdamped Langevin diffusions. We first characterize the stationary distribution of the discrete chain obtained with constant step-size discretization and show that it is biased away from the target distribution. Notably, the step-size needs to go to zero to obtain asymptotic unbiasedness. Next, we establish the asymptotic normality for numerical integration using the randomized midpoint method and highlight the relative advantages and disadvantages over other discretizations. Our results collectively provide several insights into the behavior of the randomized midpoint discretization method, including obtaining confidence intervals for numerical integrations.

Related papers

• Convergence of Score-Based Discrete Diffusion Models: A Discrete-Time Analysis [56.442307356162864]
  We study the theoretical aspects of score-based discrete diffusion models under the Continuous Time Markov Chain (CTMC) framework. We introduce a discrete-time sampling algorithm in the general state space $[S]d$ that utilizes score estimators at predefined time points. Our convergence analysis employs a Girsanov-based method and establishes key properties of the discrete score function.
  arXiv  Detail & Related papers  (2024-10-03T09:07:13Z)
• A Unified Theory of Stochastic Proximal Point Methods without Smoothness [52.30944052987393]
  Proximal point methods have attracted considerable interest owing to their numerical stability and robustness against imperfect tuning. This paper presents a comprehensive analysis of a broad range of variations of the proximal point method (SPPM)
  arXiv  Detail & Related papers  (2024-05-24T21:09:19Z)
• Uncertainty Quantification via Stable Distribution Propagation [60.065272548502]
  We propose a new approach for propagating stable probability distributions through neural networks. Our method is based on local linearization, which we show to be an optimal approximation in terms of total variation distance for the ReLU non-linearity.
  arXiv  Detail & Related papers  (2024-02-13T09:40:19Z)
• Noise-Free Sampling Algorithms via Regularized Wasserstein Proximals [3.4240632942024685]
  We consider the problem of sampling from a distribution governed by a potential function. This work proposes an explicit score based MCMC method that is deterministic, resulting in a deterministic evolution for particles.
  arXiv  Detail & Related papers  (2023-08-28T23:51:33Z)
• Adaptive Annealed Importance Sampling with Constant Rate Progress [68.8204255655161]
  Annealed Importance Sampling (AIS) synthesizes weighted samples from an intractable distribution. We propose the Constant Rate AIS algorithm and its efficient implementation for $alpha$-divergences.
  arXiv  Detail & Related papers  (2023-06-27T08:15:28Z)
• Stochastic Saddle Point Problems with Decision-Dependent Distributions [0.6091702876917279]
  This paper focuses on saddle point problems with decision-dependent in both the static and time-varying settings. We introduce the notion of equilibrium points -- which are saddle points for the stationary minimax problem. We show that primal-dual algorithms converge to saddle points in a similar fashion.
  arXiv  Detail & Related papers  (2022-01-07T03:36:41Z)
• The Connection between Discrete- and Continuous-Time Descriptions of Gaussian Continuous Processes [60.35125735474386]
  We show that discretizations yielding consistent estimators have the property of invariance under coarse-graining' This result explains why combining differencing schemes for derivatives reconstruction and local-in-time inference approaches does not work for time series analysis of second or higher order differential equations.
  arXiv  Detail & Related papers  (2021-01-16T17:11:02Z)
• Stochastic Saddle-Point Optimization for Wasserstein Barycenters [69.68068088508505]
  We consider the populationimation barycenter problem for random probability measures supported on a finite set of points and generated by an online stream of data. We employ the structure of the problem and obtain a convex-concave saddle-point reformulation of this problem. In the setting when the distribution of random probability measures is discrete, we propose an optimization algorithm and estimate its complexity.
  arXiv  Detail & Related papers  (2020-06-11T19:40:38Z)
• Stochastic Normalizing Flows [2.323220706791067]
  We show that normalizing flows can be used to learn the transformation of a simple prior distribution. We derive an efficient training procedure by which both the sampler's and the flow's parameters can be optimized end-to-end. We illustrate the representational power, sampling efficiency and correctness of SNFs on several benchmarks including applications to molecular sampling systems in equilibrium.
  arXiv  Detail & Related papers  (2020-02-16T23:29:32Z)

This list is automatically generated from the titles and abstracts of the papers in this site.

This site does not guarantee the quality of this site (including all information) and is not responsible for any consequences.