Dimension-Independent Convergence of Underdamped Langevin Monte Carlo in KL Divergence

Shiyuan Zhang, Qiwei Di, Xuheng Li +1

Underdamped Langevin dynamics (ULD) is a widely-used sampler for Gibbs distributions $\pi \propto e^{-V}$, and is often empirically effective in high dimensions. However, existing non…