An Analysis of Transformed Unadjusted Langevin Algorithm for Heavy-Tailed Sampling

We analyze the oracle complexity of sampling from polynomially decaying heavy-tailed target densities based on running the Unadjusted Langevin Algorithm on certain transformed versions of the target density. The specific class of closed-form transformation maps that we construct are shown to be diff...

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Veröffentlicht in:	IEEE transactions on information theory 2024-01, Vol.70 (1), p.571-593
Hauptverfasser:	He, Ye, Balasubramanian, Krishnakumar, Erdogdu, Murat A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Complexity of sampling Complexity theory Differential equations Dirichlet problem functional inequalities Heavily-tailed distribution heavy-tailed densities Indium tin oxide Inequalities Isomorphism Large scale integration Lightly-tailed distribution Polynomials Samplers Sampling Symmetric matrices Tail
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