Estimating the normalizing constant of an unnormalized probability distribution has important applications in computer science, statistical physics, machine learning, and statistics. In this work, we consider the problem of estimating the normalizing constant to within a multiplication factor of 1 ± ε for a μ-strongly convex and L-smooth function f, given query access to f(x) and ∇f(x). We give both algorithms and lowerbounds for this problem. Using an annealing algorithm combined with a multilevel Monte Carlo method based on underdamped Langevin dynamics, we show that O(d^{4/3}/\eps^2) queries to ∇f are sufficient. Moreover, we provide an information theoretic lowerbound, showing that at least d^{1-o(1)}/\eps^{2-o(1)} queries are necessary. This provides a first nontrivial lowerbound for the problem.
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Weighted L 2 -contractivity of Langevin dynamics with singular potentials
Abstract Convergence to equilibrium of underdamped Langevin dynamics is studied under general assumptions on the potential U allowing for singularities. By modifying the direct approach to convergence in L 2 pioneered by Hérau and developed by Dolbeault et al , we show that the dynamics converges exponentially fast to equilibrium in the topologies L 2 (d μ ) and L 2 ( W * d μ ), where μ denotes the invariant probability measure and W * is a suitable Lyapunov weight. In both norms, we make precise how the exponential convergence rate depends on the friction parameter γ in Langevin dynamics, by providing a lower bound scaling as min( γ , γ −1 ). The results hold for usual polynomial-type potentials as well as potentials with singularities such as those arising from pairwise Lennard-Jones interactions between particles.
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- PAR ID:
- 10316064
- Date Published:
- Journal Name:
- Nonlinearity
- Volume:
- 35
- Issue:
- 2
- ISSN:
- 0951-7715
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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