Langevin Monte Carlo and JKO splitting

02/23/2018

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by   Espen Bernton, et al.

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Algorithms based on discretizing Langevin diffusion are popular tools for sampling from high-dimensional distributions. We develop novel connections between such Monte Carlo algorithms, the theory of Wasserstein gradient flow, and the operator splitting approach to solving PDEs. In particular, we show that a proximal version of the Unadjusted Langevin Algorithm corresponds to a scheme that alternates between solving the gradient flows of two specific functionals on the space of probability measures. Using this perspective, we derive some new non-asymptotic results on the convergence properties of this algorithm.