提出新采样框架OLLA,高效处理非凸约束下的分布采样。
Fast Non-Log-Concave Sampling under Nonconvex Equality and Inequality Constraints with Landing
- 基于无投影的朗之万动力学,同时支持等式与不等式约束
- 在满足正则性条件下,以指数速度收敛到目标分布
- 适合需高精度采样的贝叶斯统计与计算化学场景
从受限统计分布中采样是贝叶斯统计、计算化学和统计物理中的基础任务。本文研究在由无约束密度及附加等式或不等式约束定义的非凸约束集 Σ⊂ℝᵈ 上的采样问题。现有方法多依赖昂贵的投影步骤,且通常仅适用于单一约束类型,缺乏严格的定量收敛保证。本文提出过阻尼朗之万带着陆(OLLA)框架,可同时处理等式与不等式约束,并通过沿约束曲面法向的确定性校正避免显式投影。在目标密度和Σ满足适当正则性条件下,证明OLLA在W₂距离下以指数速度收敛至约束目标分布ρ_Σ(x) ∝ exp(−f(x))dσ_Σ。实验表明,相较于基于投影的方法及其松弛变量变体,OLLA具有更低的计算成本和合理的混合性能。
原文摘要 · Abstract (English)
Sampling from constrained statistical distributions is a fundamental task in various fields including Bayesian statistics, computational chemistry, and statistical physics. This article considers the cases where the constrained distribution is described by an unconstrained density, as well as additional equality and/or inequality constraints, which often make the constraint set nonconvex. Existing methods for nonconvex constraint set $Σ\subset \mathbb{R}^d$ defined by equality or inequality constraints commonly rely on costly projection steps. Moreover, they cannot handle equality and inequality constraints simultaneously as each method only specialized in one case. In addition, rigorous and quantitative convergence guarantee is often lacking. In this paper, we introduce Overdamped Langevin with LAnding (OLLA), a new framework that can design overdamped Langevin dynamics accommodating both equality and inequality constraints. The proposed dynamics also deterministically corrects trajectories along the normal direction of the constraint surface, thus obviating the need for explicit projections. We show that, under suitable regularity conditions on the target density and $Σ$, OLLA converges exponentially fast in $W_2$ distance to the constrained target density $ρ_Σ(x) \propto \exp(-f(x))dσ_Σ$. Lastly, through experiments, we demonstrate the efficiency of OLLA compared to projection-based constrained Langevin algorithms and their slack variable variants, highlighting its favorable computational cost and reasonable empirical mixing.
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