Dimension-free regimes for unadjusted Langevin in ridge-separable models: A subspace robust Wasserstein analysis

Yuansi Chen, Francesco Pedrotti, Peter A. Whalley

The Unadjusted Langevin Algorithm (ULA) is widely used for high-dimensional Bayesian inference. Classical analyses in Wasserstein-2 distance predict an asymptotic bias and a mixing…