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The query complexity of sampling from strongly log-concave distributions in one dimension

Statistics Theory 2021-06-11 v2 Machine Learning Statistics Theory

Abstract

We establish the first tight lower bound of Ω(loglogκ)\Omega(\log\log\kappa) on the query complexity of sampling from the class of strongly log-concave and log-smooth distributions with condition number κ\kappa in one dimension. Whereas existing guarantees for MCMC-based algorithms scale polynomially in κ\kappa, we introduce a novel algorithm based on rejection sampling that closes this doubly exponential gap.

Keywords

Cite

@article{arxiv.2105.14163,
  title  = {The query complexity of sampling from strongly log-concave distributions in one dimension},
  author = {Sinho Chewi and Patrik Gerber and Chen Lu and Thibaut Le Gouic and Philippe Rigollet},
  journal= {arXiv preprint arXiv:2105.14163},
  year   = {2021}
}

Comments

19 pages, 4 figures