Fast parallel sampling under isoperimetry

• URL: http://arxiv.org/abs/2401.09016v1
• Date: Wed, 17 Jan 2024 07:24:18 GMT
• Title: Fast parallel sampling under isoperimetry
• Authors: Nima Anari, Sinho Chewi, Thuy-Duong Vuong
• Abstract summary: We show how to sample in parallel from a distribution $pi$ over $mathbb Rd$ that satisfies a log-Sobolev inequality. We show that our algorithm outputs samples from a distribution $hatpi$ that is close to $pi$ in Kullback--Leibler divergence.
• Score: 10.619901778151336
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We show how to sample in parallel from a distribution $\pi$ over $\mathbb R^d$ that satisfies a log-Sobolev inequality and has a smooth log-density, by parallelizing the Langevin (resp. underdamped Langevin) algorithms. We show that our algorithm outputs samples from a distribution $\hat\pi$ that is close to $\pi$ in Kullback--Leibler (KL) divergence (resp. total variation (TV) distance), while using only $\log(d)^{O(1)}$ parallel rounds and $\widetilde{O}(d)$ (resp. $\widetilde O(\sqrt d)$) gradient evaluations in total. This constitutes the first parallel sampling algorithms with TV distance guarantees. For our main application, we show how to combine the TV distance guarantees of our algorithms with prior works and obtain RNC sampling-to-counting reductions for families of discrete distribution on the hypercube $\{\pm 1\}^n$ that are closed under exponential tilts and have bounded covariance. Consequently, we obtain an RNC sampler for directed Eulerian tours and asymmetric determinantal point processes, resolving open questions raised in prior works.

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