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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On a Bellman function associated with the Chang–Wilson–Wolff theorem: a case study
The tail of distribution (i.e., the measure of the set { f ≥ x } \{f\ge x\} ) is estimated for those functions f f whose dyadic square function is bounded by a given constant. In particular, an estimate following from the Chang–Wilson–Wolf theorem is slightly improved. The study of the Bellman function corresponding to the problem reveals a curious structure of this function: it has jumps of the first derivative at a dense subset of the interval [ 0 , 1 ] [0,1] (where it is calculated exactly), but it is of C ∞ C^\infty -class for x > 3 x>\sqrt 3 (where it is calculated up to a multiplicative constant). An unusual feature of the paper consists of the usage of computer calculations in the proof. Nevertheless, all the proofs are quite rigorous, since only the integer arithmetic was assigned to a computer.
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- Award ID(s):
- 1900268
- PAR ID:
- 10454082
- Date Published:
- Journal Name:
- St. Petersburg Mathematical Journal
- Volume:
- 33
- Issue:
- 4
- ISSN:
- 1061-0022
- Page Range / eLocation ID:
- 633 to 659
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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