Optimal dimension dependence of the Metropolis-Adjusted Langevin Algorithm

12/23/2020 ∙ by Sinho Chewi, et al. ∙ 0

Conventional wisdom in the sampling literature, backed by a popular diffusion scaling limit, suggests that the mixing time of the Metropolis-Adjusted Langevin Algorithm (MALA) scales as O(d^1/3), where d is the dimension. However, the diffusion scaling limit requires stringent assumptions on the target distribution and is asymptotic in nature. In contrast, the best known non-asymptotic mixing time bound for MALA on the class of log-smooth and strongly log-concave distributions is O(d). In this work, we establish that the mixing time of MALA on this class of target distributions is Θ(d^1/2) under a warm start. Our upper bound proof introduces a new technique based on a projection characterization of the Metropolis adjustment which reduces the study of MALA to the well-studied discretization analysis of the Langevin SDE and bypasses direct computation of the acceptance probability.

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