Implicit Langevin Algorithms for Sampling From Log-concave Densities

03/29/2019

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by   Liam Hodgkinson, et al.

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For sampling from a log-concave density, we study implicit integrators resulting from θ-method discretization of the overdamped Langevin diffusion stochastic differential equation. Theoretical and algorithmic properties of the resulting sampling methods for θ∈ [0,1] and a range of step sizes are established. Our results generalize and extend prior works in several directions. In particular, for θ>1/2, we prove geometric ergodicity and stability of the resulting methods for all step sizes. We show that obtaining subsequent samples amounts to solving a strongly-convex optimization problem, which is readily achievable using one of numerous existing methods. Numerical examples supporting our theoretical analysis are also presented.