Nesterov smoothing for sampling without smoothness

J Fan, B Yuan, J Liang, Y Chen - 2023 62nd IEEE Conference …, 2023 - ieeexplore.ieee.org
2023 62nd IEEE Conference on Decision and Control (CDC), 2023ieeexplore.ieee.org
We study the problem of sampling from a target distribution in R^d whose potential is not
smooth. Compared with the sampling problem with smooth potentials, this problem is much
less well-understood due to the lack of smoothness. In this paper, we propose a novel
sampling algorithm for a class of non-smooth potentials by first approximating them by
smooth potentials using a technique that is akin to Nesterov smoothing. We then utilize
sampling algorithms on the smooth potentials to generate approximate samples from the …
We study the problem of sampling from a target distribution in whose potential is not smooth. Compared with the sampling problem with smooth potentials, this problem is much less well-understood due to the lack of smoothness. In this paper, we propose a novel sampling algorithm for a class of non-smooth potentials by first approximating them by smooth potentials using a technique that is akin to Nesterov smoothing. We then utilize sampling algorithms on the smooth potentials to generate approximate samples from the original non-smooth potentials. We select an appropriate smoothing intensity to ensure that the distance between the smoothed and un-smoothed distributions is minimal, thereby guaranteeing the algorithm's accuracy. Hence we obtain non-asymptotic convergence results based on existing analysis of smooth sampling. We verify our convergence result on a synthetic example and apply our method to improve the worst-case performance of Bayesian inference on a real-world example.
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