9 papers
Exact simulation of diffusions and improved algorithms for log-concave sampling
Fan Chen, Sinho Chewi, Alexander Rakhlin +1
We study exact simulation of diffusions via rejection sampling on path space using unbiased estimators of the density ratio obtained from Girsanov's theorem. When applied to the un…
Stability of the Kim--Milman flow map
Sinho Chewi, Aram-Alexandre Pooladian, Matthew S. Zhang
In this short note, we characterize stability of the Kim--Milman flow map -- also known as the probability flow ODE -- with respect to variations in the target measure in relative…
Shifted Composition IV: Toward Ballistic Acceleration for Log-Concave Sampling
Jason M. Altschuler, Sinho Chewi, Matthew S. Zhang
Acceleration is a celebrated cornerstone of convex optimization, enabling gradient-based algorithms to converge sublinearly in the condition number. A major open question is whethe…
Algorithmic warm starts for Hamiltonian Monte Carlo
Matthew S. Zhang, Jason M. Altschuler, Sinho Chewi
Generating samples from a continuous probability density is a central algorithmic problem across statistics, engineering, and the sciences. For high-dimensional settings, Hamiltoni…
Sharp propagation of chaos in Rényi divergence
Matthew S. Zhang
We establish sharp rates for propagation of chaos in Rényi divergences for interacting diffusion systems at stationarity. Building upon the entropic hierarchy established in Lacke…
Perspectives on Stochastic Localization
Bobby Shi, Kevin Tian, Matthew S. Zhang
We survey different perspectives on the stochastic localization process of Eldan, a powerful construction that has had many exciting recent applications in high-dimensional probabi…