arXiv:2605.06091math.STcs.LG2026-05

提出新型时变预条件Langevin方法,同时解决采样中的模式覆盖与局部探索难题。

Time-Inhomogeneous Preconditioned Langevin Dynamics

论文配图:Time-Inhomogeneous Preconditioned Langevin Dynamics
图 1 · 摘自论文原文
  • 设计随时间和位置变化的预条件器,统一应对多模态分布的全局覆盖与局部探索问题
  • 在连续时间与离散化下均证明Wasserstein-2距离收敛,适用于非光滑漂移和时变扩散系数
  • 实验验证在低维病态例和高维贝叶斯逻辑回归中优于现有预条件方法

从形如 $p(x) /propto \exp(-Ψ(x))$ 的分布进行Langevin采样面临两大挑战:全局模式覆盖与局部模式探索。前者在具有分离模式的多模态分布中尤为显著,后者则源于势函数 $Ψ$ 的多样且病态的局部几何结构。现有方法常通过样本协方差或 $Ψ$ 的局部曲率等特定信息对Langevin动力学进行预条件处理,但此类方法在全局覆盖与局部探索间存在固有权衡,无法同时解决两者。为此,本文提出TIPreL,引入随时间和位置变化的预条件器,统一框架下有效应对上述挑战。我们建立了该动力学在连续时间及截断欧拉离散化下的Wasserstein-2距离收敛性。特别地,分析扩展了现有最先进成果,首次证明了在时变与空间依赖扩散系数、仅局部Lipschitz漂移条件下仍可收敛,此前未被覆盖。最后,在二维严重病态示例与高维贝叶斯逻辑回归任务上,实验对比表明TIPreL在效率上优于现有预条件方案。

原文摘要 · Abstract (English)

Langevin sampling from distributions of the form $p(x) \propto \exp(-Ψ(x))$ faces two major challenges: (global) mode coverage and (local) mode exploration. The first challenge is particularly relevant for multi-modal distributions with disjoint modes, whereas the second arises when the potential $Ψ$ exhibits diverse and ill-conditioned local mode geometry. To address these challenges, a common approach is to precondition Langevin dynamics with problem-specific information, such as the sample covariance or the local curvature of $Ψ$. However, existing preconditioner choices inherently involve a trade-off between global mode coverage and local mode exploration, and no prior method resolves both simultaneously. To overcome this limitation, we propose the TIPreL, which introduces a time- and position-dependent preconditioner. This design effectively addresses both challenges mentioned above within a single framework. We establish convergence of the resulting dynamics in the Wasserstein-2 distance both in continuous time and for a tamed Euler discretization. In particular, our analysis extends the existing state of the art by proving convergence under time- and space-dependent diffusion coefficients, and only locally Lipschitz drifts, which has not been covered by prior work. Finally, we experimentally compare TIPreL with competing preconditioning schemes on a two-dimensional, severely ill-posed example and on a Bayesian logistic regression task in higher dimensions, confirming the efficiency of the proposed method.

采样算法Langevin预条件收敛分析

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