2022
COLT
COLT 2022
The query complexity of sampling from strongly log-concave distributions in one dimension
Abstract
We establish the first tight lower bound of $\Omega(\log\log\kappa)$ on the query complexity of sampling from the class of strongly log-concave and log-smooth distributions with condition number $\kappa$ in one dimension. Whereas existing guarantees for MCMC-based algorithms scale polynomially in $\kappa$, we introduce a novel algorithm based on rejection sampling that closes this doubly exponential gap.
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Interdisciplinary Bridge
- Artificial Intelligence and Mathematics & Optimization
Topics
Machine Learning > Optimization & Theory > Statistical Learning
Machine Learning > Optimization & Theory > Stochastic Processes
Mathematics & Optimization > Mathematics > Probability
Mathematics & Optimization > Optimization > Stochastic Methods
Machine Learning > Bayesian & Probabilistic > Markov Chain Monte Carlo