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Structured Logconcave Sampling with a Restricted Gaussian Oracle

Yin Tat Lee, Ruoqi Shen, Kevin Tian

arXiv:2010.03106v4cs.DScs.LGmath.OCstat.COstat.ML

TL;DR

Efficient sampling for structured logconcave densities remains less developed than sampling for well-conditioned densities, especially for composite densities and finite sums. The paper combines new samplers with a proximal reduction framework, obtaining state-of-the-art guarantees across structured families while identifying a bottleneck for some sublinear-dimension mixing analyses.

  • Problem

    Composite densities and logconcave finite sums are not well understood in sampling, and the sampling complexity landscape and toolkit are comparatively less developed than in convex optimization.

    Source: §1 · p. 3
  • Method

    A proximal-point-inspired reduction bootstraps samplers for regularized densities, using restricted Gaussian oracles as a key ingredient.

    Source: §1 · p. 3, §1.1 · p. 4
  • Results

    The framework and new base samplers yield state-of-the-art guarantees for well-conditioned, composite, and finite-sum distributions, with the composite and finite-sum base samplers offering guarantees not previously known.

    Source: §1 · pp. 3–4
  • Takeaways & Limitations

    For the structured families considered, the reduction gives guarantees described as essentially the best possible absent a significant improvement in the commonly studied well-conditioned regime.

    Source: §1 · p. 4

    For Metropolized algorithms starting from exponentially warm distributions, a general conductance bottleneck may obstruct mixing times below Ω(d), though an alternative W2 analysis preserves this theorem's correctness.

    Source: §1.4 · p. 14

Abstract

from arXiv · show

We give algorithms for sampling several structured logconcave families to high accuracy. We further develop a reduction framework, inspired by proximal point methods in convex optimization, which bootstraps samplers for regularized densities to improve dependences on problem conditioning. A key ingredient in our framework is the notion of a "restricted Gaussian oracle" (RGO) for $g: \mathbb{R}^d \rightarrow \mathbb{R}$, which is a sampler for distributions whose negative log-likelihood sums a quadratic and $g$. By combining our reduction framework with our new samplers, we obtain the following bounds for sampling structured distributions to total variation distance $\epsilon$. For composite densities $\exp(-f(x) - g(x))$, where $f$ has condition number $\kappa$ and convex (but possibly non-smooth) $g$ admits an RGO, we obtain a mixing time of $O(\kappa d \log^3\frac{\kappa d}{\epsilon})$, matching the state-of-the-art non-composite bound; no composite samplers with better mixing than general-purpose logconcave samplers were previously known. For logconcave finite sums $\exp(-F(x))$, where $F(x) = \frac{1}{n}\sum_{i \in [n]} f_i(x)$ has condition number $\kappa$, we give a sampler querying $\widetilde{O}(n + \kappa\max(d, \sqrt{nd}))$ gradient oracles to $\{f_i\}_{i \in [n]}$; no high-accuracy samplers with nontrivial gradient query complexity were previously known. For densities with condition number $\kappa$, we give an algorithm obtaining mixing time $O(\kappa d \log^2\frac{\kappa d}{\epsilon})$, improving the prior state-of-the-art by a logarithmic factor with a significantly simpler analysis; we also show a zeroth-order algorithm attains the same query complexity.

1 Introduction

The paper develops restricted Gaussian oracles and a proximal-point reduction framework for sampling structured logconcave distributions. Its scope includes composite and finite-sum densities, with methods addressing limitations in prior sampling guarantees.

1 Introduction

  • The work targets structured logconcave families motivated by applications, including well-conditioned densities, composite densities, and logconcave finite sums.Its broader aim is to identify which structures admit efficient samplers and use connections between optimization and sampling to design algorithms.Source: §1 · p. 3

1.1 Our results

  • The proximal reduction framework bootstraps samplers with polynomial dependence on a conditioning measure into samplers with linear dependence, using restricted Gaussian oracle subproblems.The framework draws on proximal point methods for structured convex optimization and has a simple analysis.Source: §1 · p. 3, §1.1 · p. 4
  • The paper gives the first composite sampler with stronger guarantees than general logconcave samplers and the first high-accuracy finite-sum sampler with nontrivial gradient-query complexity.The composite result assumes an RGO for g; the finite-sum method queries component gradient oracles rather than full gradients in every iteration.Source: §1 · p. 3, §1.1 · pp. 5, 7
  • For well-conditioned densities, the reduction improves the prior mixing bound by roughly a logarithmic factor, and a zeroth-order algorithm achieves the same query complexity.The paper also presents this result as a simpler analysis than the prior work.Source: §1.1 · p. 5

1.2 Previous work

  • Prior well-conditioned samplers reached roughly eO(κd) total-variation gradient complexity by exploiting gradient concentration, while earlier composite methods had large mixing bounds under minimal assumptions.The paper describes its composite guarantee as resolving the previously open goal of improving on general-purpose logconcave samplers under minimal assumptions.Source: §1.2 · pp. 7–8
  • For finite sums, prior stochastic-gradient sampling rates depended heavily on estimator variance, whereas this reduction-based approach implicitly lowers variance through repeated re-centering.The work situates its approach alongside variance-reduced samplers inspired by convex optimization.Source: §1.2 · p. 8
  • For finite sums, prior runtimes required bounded higher derivatives, gave only Wasserstein guarantees, and depended polynomially on inverse accuracy, while this work obtains total-variation bounds with linear κ and polylogarithmic inverse-accuracy dependence.The new bound also matches the state-of-the-art when n = 1; the passage says no previous nontrivial high-accuracy bounds were known.Source: §1.2 · p. 8

1.3.1 Composite logconcave sampling

  • For composite densities with convex, possibly nonsmooth g, the proposed RGO-based sampler expands the state space and uses alternating updates, avoiding the complications of smoothing g.The approach is motivated by issues bounding distributional closeness and gradient-drift bias under smoothing; its structural results support sharper conductance and warm-start bounds and constant-expected-query rejection sampling.Source: §1.3.1 · pp. 9–11

1.3.2 Logconcave finite sums

  • The finite-sum section initiates high-accuracy total-variation sampling and gives a zeroth-order algorithm using eO(κ^2d) summand-value queries, assuming access to a minimizer of F.Earlier subsampled-gradient guarantees were polynomial in accuracy and measured in 2-Wasserstein distance; the passage identifies the high-accuracy total-variation query-complexity gap.Source: §1.3.2 · p. 11

1.3.3 Proximal point reduction framework

  • The reduction framework bootstraps regularized samplers to improve polynomial condition-number dependence to linear dependence, and the composite sampler supplies the needed subroutine for its sampling applications.The framework is presented as a generic route from mixing times polynomial in κ to methods scaling linearly in κ.Source: §1.3.3 · p. 13

1.4 Erratum, and a word of warning for o(d) mixing

  • The initial COLT 2021 proof of Theorem 1 was incorrect because of a spectral-profile mixing-bound error, but an alternative W2 analysis preserves that theorem and the issue warns against assuming o(d) mixing.The additive log(β) term can be Ω(d) for exponentially warm starts, creating a general bottleneck for Metropolized algorithms in such settings.Source: §1.4 · p. 14

1.5 Roadmap

  • The paper develops the reduction framework and proves it first, applies it to base samplers for its strongest guarantees, then proves those samplers.The roadmap assigns the framework and correctness proof to Section 3, applications to Section 4, and base-sampler proofs to Sections 5 and 6.Source: §1.5 · p. 14

2 Preliminaries

The preliminaries fix notation and define the smoothness, conditioning, oracle-access, and structural assumptions used throughout. They also point to technical facts used later, though their statements are not fully included here.

2.1 Notation

  • A twice-differentiable function is L-smooth and μ-strongly convex when μI ⪯ ∇²f(x) ⪯ LI for every x.For such a function, the condition number is κ := L/μ.Source: §2.1 · pp. 14–15
  • A first-order oracle returns a function value and gradient, while a zeroth-order oracle returns only the function value.The text also defines a β-warm distribution and total variation distance between distributions.Source: §2.1 · p. 15
  • Composite densities have the form exp(−f(x) − g(x)) with convex components, while finite sums use F(x) = (1/n)Σ_i f_i(x).For finite sums, each summand is assumed L-smooth and convex, and F is μ-strongly convex; complexity is measured in summand gradient queries.Source: §2.1 · p. 15

2.2 Technical facts

  • The setup allows access to minimizers of target negative log-densities, noting that optimization is not the leading-order cost under the stated conditions.The section also introduces several technical facts for later use, but their full statements are not present in these passages.Source: §2.1 · p. 15, §2.2 · pp. 15–16

3 Proximal reduction framework

The framework bootstraps samplers for regularized densities to improve their dependence on conditioning. It uses an RGO within an alternating sampler on an expanded joint distribution whose x-marginal is the target.

3 Proximal reduction framework

  • The framework applies when the target is proportional to exp(−f(x) − g(x)), f is smooth and strongly convex, and a minimizer is available.Each iteration queries a gradient oracle for f and the RGO a constant number of times; the guarantee is in total variation distance.Source: §3 · p. 16
  • The RGO subproblems are heavily regularized by a quadratic, which can make them faster to sample than the original target.The text identifies this as the reason existing sampling methods can implement efficient RGOs in structured applications.Source: §3 · p. 16
  • An RGO for g lets the sampler alternate between conditional draws in a joint distribution whose x-marginal is the target density proportional to exp(−g(x)).The method uses the RGO and Gaussian sampling to implement the alternating marginal steps.Source: §3 · pp. 16–17
  • The analysis first bounds convergence in 2-Wasserstein distance, then converts that bound to KL divergence and total variation distance.The proof uses alternating marginal sampling, with the joint distribution stationary under the alternating updates.Source: §3 · pp. 17, 19, 20

4 Tighter runtimes for structured densities

The section applies the proximal reduction to well-conditioned, composite, and finite-sum targets. Its guarantees include improved well-conditioned runtimes, a composite mixing bound, and reduced oracle-query costs for finite sums.

4.1 Well-conditioned logconcave sampling: proof of Corollary 1

  • The well-conditioned sampler improves the prior result by roughly a logarithmic factor and uses a simpler analysis.Its RGO implementation uses rejection sampling, and the section reports an expected gradient-query bound in the well-conditioned case.Source: §4.1 · pp. 20, 22

4.2 Composite logconcave sampling: proof of Corollary 2

  • O(κd log³(κd/ε)) iterations suffice for ε total variation accuracy on composite targets, with a gradient query and a constant number of RGO calls per iteration.The result assumes f is L-smooth and μ-strongly convex, g admits an RGO, and a minimizer of f + g is available.Source: §4.2 · p. 23

4.3 Sampling logconcave finite sums: proof of Corollary 3

  • The base finite-sum sampler uses O(n log(κd/ε)) first-order oracle queries after precomputing a minimizer.For n = 1, the text separately gives an eO(√(κd)) value-oracle complexity for obtaining a minimizer.Source: §4.3 · pp. 23–24
  • The finite-sum sampler uses Algorithm 6 with SVRG as an RGO and improves first-order query complexity over the base sampler.The supplied result passages do not include the bound's query expression; the reported accuracy is ε in total variation.Source: §4.3 · p. 24
  • O(κd log²(κd/ε)) value queries suffice for ε total variation accuracy on a well-conditioned target.The section also gives a nearly matching value-only sampler with deterministic iteration complexity.Source: §4.1 · p. 22, §4.3 · p. 24
  • The reduction trades off finite-sum optimization and sampling costs to choose the regularization parameter η for the zeroth-order sampler.The text says this zeroth-order query complexity interpolates with the first-order guarantee, up to logarithmic factors.Source: §4.3 · pp. 24–25

5 Composite logconcave sampling with a restricted Gaussian oracle

The composite sampler reduces the general case to one where both components share a minimizer, then samples through an auxiliary joint distribution. Alternating marginal draws, including an RGO call and a rejection-sampling step, implement the method.

5 Composite logconcave sampling with a restricted Gaussian oracle

  • The sampler targets densities proportional to exp(−f(x) − g(x)), with f smooth and strongly convex and g accessible through an RGO.The section develops this base sampler under a precomputed minimizer assumption.Source: §5 · p. 25

5.1 Reduction from Composite-Sample to Composite-Sample-Shared-Min

  • A reduction transforms the components so they share a minimizer while preserving the target density and oracle access with constant overhead.The transformed functions are both minimized at the target's minimizer.Source: §5.1 · p. 25

5.2 Reduction from Composite-Sample-Shared-Min to Sample-Joint-Dist

  • The shared-minimizer sampler uses rejection sampling on output from Sample-Joint-Dist and needs an expected O(1) calls to that subroutine.Its output is within ε total variation of the original target under the stated parameter setting.Source: §5.2 · pp. 26–27

5.3 Implementing Sample-Joint-Dist

  • Sample-Joint-Dist alternates between joint-distribution marginals, implementing the steps with the RGO and a rejection sampler called YSample.Because the y-marginal is a bounded perturbation of a Gaussian, YSample's rejection step succeeds in two iterations in the stated high-probability region.Source: §5.3 · p. 27

5.4 Putting it all together: proof of Theorem 2

  • The joint sampler achieves the required marginal accuracy with an expected constant number of gradient queries per iteration.Combining its guarantee with the reductions yields the composite sampler's total-variation guarantee.Source: §5.3 · p. 28, §5.4 · p. 28

6 Logconcave finite sums

The finite-sum sampler uses a zeroth-order Metropolized random walk with an efficient, biased filter. Its analysis bounds the filter’s error and uses conductance to show the algorithm reaches the target distribution within total variation distance ε.

6 Logconcave finite sums

  • Algorithm 6 applies a zeroth-order Metropolized random walk with an efficient but biased filter to logconcave finite sums.The section assumes each summand is strongly convex and smooth, and that all summands share the minimizer of their average.Source: §6 · p. 28

6.1 Approximate Metropolis-Hastings

  • The analysis compares the approximate filter with Inefficient-MRW, bounding the total variation error from incorrect filtering and oversized sampled subsets over K steps.The algorithm uses a sampled subset of summands in its filter.Source: §6.1 · pp. 29–32

6.2 Conductance analysis

  • Under the stated strong-convexity and smoothness assumptions, Algorithm 6 outputs a distribution within ε total variation distance of π.The conductance analysis establishes mixing for Inefficient-MRW and transfers the guarantee to Algorithm 6.Source: §6.2 · p. 34

A Discussion of inexactness tolerance

The paper discusses tolerance to inexact minimization and restricted Gaussian oracle implementation. It states that these approximations affect final bounds by constants, while sub-Gaussian tails keep the expected query-cost impact of poor initial error negligible.

Inexact minimization

  • Sub-Gaussian tails of the sampled points make the expected oracle-query cost from large initial function error negligible, despite logarithmic dependence on that error.The paper notes that first-order optimization complexity increases only logarithmically with initial error.Source: A Discussion of inexactness tolerance · p. 40
  • Inexact minimization can be accommodated by solving the optimization subproblems to high accuracy, affecting the paper’s bounds only by constants.The warm-start calculations also tolerate inexactness by an argument analogous to Section 3.2.1 of.Source: A Discussion of inexactness tolerance · p. 40

Inexact oracle implementation

  • Restricted Gaussian oracle implementations tolerate total variation error inverse polynomial in problem parameters, with the final bounds affected only by constants.The composite sampler analysis accounts pessimistically for error at each oracle call.Source: A Discussion of inexactness tolerance · p. 40

B.1 Deferred proofs from Section 5.2

These deferred proofs analyze approximate rejection sampling and bounds on normalization constants. The rejection-sampling lemma controls both expected calls and output accuracy, while the ratio bounds support comparisons between the target and approximate distributions.

B.1.1 Approximate rejection sampling

  • Approximate rejection sampling repeatedly proposes from an approximate distribution and accepts a point according to an acceptance probability.The scheme assumes the proposal sampler is close in total variation to its target proposal distribution.Source: §B.1.1 · pp. 40–41
  • The rejection-sampling guarantee bounds expected calls to the proposal sampler and the output’s total variation error by ε′ + 2δC.The guarantee applies under the lemma’s stated parameter condition.Source: §B.1.1 · p. 41

B.1.2 Distribution ratio bounds

  • The distribution-ratio analysis establishes bounds on the normalization constants of π and π̂ for comparing the distributions.The section introduces these constants before deriving the bounds.Source: §B.1.2 · pp. 42–43

B.1.3 Correctness of Composite-Sample-Shared-Min

Composite-Sample-Shared-Min uses Sample-Joint-Dist to approximate the target distribution. With the specified parameters, it achieves ε total variation error in an expected constant number of calls.

B.1.3 Correctness of Composite-Sample-Shared-Min

  • With η = 32Lκd log(288κ/ε) and δ = ε/18, Composite-Sample-Shared-Min outputs a sample within ε total variation of the target in expected O(1) calls to Sample-Joint-Dist.The parameter choice is specified in the correctness proof.Source: §B.1.3 · p. 44
  • The proof bounds the target region’s omitted probability under the strongly logconcave density π by ε/3.This bound is used in establishing correctness.Source: §B.1.3 · p. 44
  • The procedure’s expected number of calls to Sample-Joint-Dist is bounded by a constant.This call bound accompanies the total variation guarantee.Source: §B.1.3 · p. 44

B.2 Deferred proofs from Section 5.3

This section establishes density-ratio bounds within a high-probability region and sets up the proof of Sample-Joint-Dist’s mixing behavior. It treats the x-marginal of ˆπ as a distribution when context makes that convenient.

B.2 Deferred proofs from Section 5.3

  • ˆπ can denote either the joint distribution in (17) or its x-component marginal, depending on context.The section also introduces Ωδ and its radius Rδ for the error tolerance δ.Source: §B.2 · p. 46
  • Sample-Joint-Dist is stationary for ˆπ; the section uses a conductance bound and then a mixing-time analysis to establish its guarantees.The proof also establishes density-ratio bounds within the high-probability region Ωδ.Source: §B.2 · p. 46

B.2.1 Conductance of Sample-Joint-Dist

The conductance analysis combines overlap between transitions from nearby points with isoperimetry on a high-probability region. This yields a route to bounding the walk’s mixing time.

B.2.1 Conductance of Sample-Joint-Dist

  • The section applies a restricted-conductance mixing result using a warm start and a high-probability region for ˆπ.Its conclusion is stated as Corollary 8 for the ideal sampler when YSample calls are exact.Source: §B.2.1 · pp. 46–47
  • The conductance proof combines nearby-point transition overlap with isoperimetry of the stationary distribution restricted to Ω.The section describes this as a standard strategy for lower bounding conductance.Source: §B.2.1 · pp. 46–47
  • Lemma 18 states that the density ˆπ and set Ωδ, as defined in (17) and (31), satisfy condition (32) with ψ = 8µ−1.Source: §B.2.1 · p. 47

B.2.2 Complexity of Sample-Joint-Dist

Sample-Joint-Dist achieves a total-variation guarantee with a constant expected number of gradient queries per iteration. Its analysis uses an RGO-based warm start and a rejection-sampling guarantee for YSample.

B.2.2 Complexity of Sample-Joint-Dist

  • Sample-Joint-Dist outputs a point within δ total variation distance of the x-marginal of ˆπ, using a constant expected number of gradient queries per iteration.The proof accounts for the accumulated error from inexact YSample calls.Source: §B.2.2 · p. 48
  • The complexity argument bounds YSample’s expected gradient evaluations per iteration near x*, while also bounding the maximum per-iteration cost.The analysis controls the probability of iterates leaving the region where the expected cost is constant.Source: §B.2.2 · p. 48

C.1 Warm start

  • One call to the restricted Gaussian oracle for g provides a warm start for ˆπ.Warmness is monotonically decreasing under an exact sampler.Source: §C.1 · p. 48

C.2 Transitions of nearby points

The mixing analysis controls transitions between nearby points, establishes isoperimetry on a high-probability region, and implements YSample using rejection sampling.

C.2 Transitions of nearby points

  • For nearby points in Ωδ, the transition analysis bounds the distance between their sampling distributions through normalization-constant comparisons and a structural result.The argument first reduces the comparison to the distributions Px and Px′ used in the transition steps.Source: §C.2 · pp. 50–52

C.3 Isoperimetry

  • The conditional distribution on Ωδ satisfies the log-isoperimetric inequality with ψ = 8µ−1.The proof combines strong logconcavity of the restricted distribution with relative density bounds.Source: §C.3 · p. 53

C.4 Correctness of YSample

  • YSample uses rejection sampling to return an exact sample within the specified near-minimizer region and a δ-TV-accurate sample otherwise.Its guarantee is analyzed for inputs x in the stated bounded-distance region around x*.Source: §C.4 · p. 54

D Structural results

The section proves two structural results for distributions whose negative log-densities are small perturbations of a quadratic. The tighter mean-to-mode bound avoids a weaker concentration estimate that would cost a factor of Ω(d) in Theorem 2’s guarantees.

D Structural results

  • The first structural result bounds normalization-constant ratios and gives tighter concentration guarantees than naive strongly logconcave bounds.The bounds are used in Section C and for warm-start bounds in Section 4; the authors also present the statements and proof techniques as independently interesting.Source: D Structural results · p. 55
  • The mean of a bounded perturbation of a Gaussian stays near its mode when the mode’s gradient is small.A direct strong-logconcavity bound is weaker by roughly √d, causing an Ω(d) loss in Theorem 2’s guarantees; the tighter analysis is crucial to the improved mixing time.Source: D Structural results · p. 56
  • For the smooth-convex perturbation result, the proof interpolates from a Gaussian to the target distribution and bounds the squared distance of the interpolated mean from x.The interpolation starts at a Gaussian with mean x − η∇f(x), and its endpoint is πη.Source: D Structural results · p. 57
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