Convergence of Langevin Monte Carlo in Chi-Squared and Renyi Divergence

Murat A. Erdogdu, Rasa Hosseinzadeh, Matthew S. Zhang

We study sampling from a target distribution ${\nu }_{\ast }=e^{-f}$ using the unadjusted Langevin Monte Carlo (LMC) algorithm when the potential $f$ satisfies a strong dissipativity condit…