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Efficient Sampling on Riemannian Manifolds via Langevin MCMC
Xiang Cheng · Jingzhao Zhang · Suvrit Sra

Wed Nov 30 02:00 PM -- 04:00 PM (PST) @ Hall J #818
We study the task of efficiently sampling from a Gibbs distribution $d \pi^* = e^{-h} d {\text{vol}}_g$ over a Riemannian manifold $M$ via (geometric) Langevin MCMC; this algorithm involves computing exponential maps in random Gaussian directions and is efficiently implementable in practice. The key to our analysis of Langevin MCMC is a bound on the discretization error of the geometric Euler-Murayama scheme, assuming $\nabla h$ is Lipschitz and $M$ has bounded sectional curvature. Our error bound matches the error of Euclidean Euler-Murayama in terms of its stepsize dependence. Combined with a contraction guarantee for the geometric Langevin Diffusion under Kendall-Cranston coupling, we prove that the Langevin MCMC iterates lie within $\epsilon$-Wasserstein distance of $\pi^*$ after $\tilde{O}(\epsilon^{-2})$ steps, which matches the iteration complexity for Euclidean Langevin MCMC. Our results apply in general settings where $h$ can be nonconvex and $M$ can have negative Ricci curvature. Under additional assumptions that the Riemannian curvature tensor has bounded derivatives, and that $\pi^*$ satisfies a $CD(\cdot,\infty)$ condition, we analyze the stochastic gradient version of Langevin MCMC, and bound its iteration complexity by $\tilde{O}(\epsilon^{-2})$ as well.

Author Information

Xiang Cheng (Massachusetts Institute of Technology)
Jingzhao Zhang (Tsinghua University, Tsinghua University)
Suvrit Sra (MIT)

Suvrit Sra is a Research Faculty at the Laboratory for Information and Decision Systems (LIDS) at Massachusetts Institute of Technology (MIT). He obtained his PhD in Computer Science from the University of Texas at Austin in 2007. Before moving to MIT, he was a Senior Research Scientist at the Max Planck Institute for Intelligent Systems, in Tübingen, Germany. He has also held visiting faculty positions at UC Berkeley (EECS) and Carnegie Mellon University (Machine Learning Department) during 2013-2014. His research is dedicated to bridging a number of mathematical areas such as metric geometry, matrix analysis, convex analysis, probability theory, and optimization with machine learning; more broadly, his work involves algorithmically grounded topics within engineering and science. He has been a co-chair for OPT2008-2015, NIPS workshops on "Optimization for Machine Learning," and has also edited a volume of the same name (MIT Press, 2011).

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