Wasserstein mixing time of the unadjusted Langevin algorithm

Abstract

We provide new estimates in Wasserstein distance for the asymptotic bias of the unadjusted Langevin algorithm, in the classical setting of log-smooth strongly log-concave measures. Our bound implies a Wasserstein mixing time of order $\hat{I}º\sqrt{d}/\epsilon$, where $\hat{I}º$ is the condition number, $d$ is the dimension, and $\epsilon$ is the target precision: this improves by a factor of $\sqrt{d}/\epsilon$ over the previous state-of-the-art results.

8 pages