Convergence Rates for Non-Log-Concave Sampling and Log-Partition Estimation

Sampling from Gibbs distributions $p(x) \propto \exp(-V(x)/\varepsilon)$ and computing their log-partition function are fundamental tasks in statistics, machine learning, and statistical physics. However, while efficient algorithms are known for convex potentials $V$, the situation is much more difficult in the non-convex case, where algorithms necessarily suffer from the curse of dimensionality in the worst case. For optimization, which can be seen as a low-temperature limit of sampling, it is known that smooth functions $V$ allow faster convergence rates. Specifically, for $m$-times differentiable functions in $d$ dimensions, the optimal rate for algorithms with $n$ function evaluations is known to be $O(n^{-m/d})$, where the constant can potentially depend on $m, d$ and the function to be optimized. Hence, the curse of dimensionality can be alleviated for smooth functions at least in terms of the convergence rate. Recently, it has been shown that similarly fast rates can also be achieved with polynomial runtime $O(n^{3.5})$, where the exponent $3.5$ is independent of $m$ or $d$. Hence, it is natural to ask whether similar rates for sampling and log-partition computation are possible, and whether they can be realized in polynomial time with an exponent independent of $m$ and $d$. We show that the optimal rates for sampling and log-partition computation are sometimes equal and sometimes faster than for optimization. We then analyze various polynomial-time sampling algorithms, including an extension of a recent promising optimization approach, and find that they sometimes exhibit interesting behavior but no near-optimal rates. Our results also give further insights on the relation between sampling, log-partition, and optimization problems.Comment: Changes in v2: Minor corrections and formatting changes. Plots can be reproduced using the code at https://github.com/dholzmueller/sampling_experiment

Adaptive multiscale detection of filamentary structures in a background of uniform random points

We are given a set of $n$ points that might be uniformly distributed in the unit square $[0,1]^2$. We wish to test whether the set, although mostly consisting of uniformly scattered points, also contains a small fraction of points sampled from some (a priori unknown) curve with $C^{\alpha}$-norm bounded by $\beta$. An asymptotic detection threshold exists in this problem; for a constant $T_-(\alpha,\beta)>0$, if the number of points sampled from the curve is smaller than $T_-(\alpha,\beta)n^{1/(1+\alpha)}$, reliable detection is not possible for large $n$. We describe a multiscale significant-runs algorithm that can reliably detect concentration of data near a smooth curve, without knowing the smoothness information $\alpha$ or $\beta$ in advance, provided that the number of points on the curve exceeds $T_*(\alpha,\beta)n^{1/(1+\alpha)}$. This algorithm therefore has an optimal detection threshold, up to a factor $T_*/T_-$. At the heart of our approach is an analysis of the data by counting membership in multiscale multianisotropic strips. The strips will have area $2/n$ and exhibit a variety of lengths, orientations and anisotropies. The strips are partitioned into anisotropy classes; each class is organized as a directed graph whose vertices all are strips of the same anisotropy and whose edges link such strips to their ``good continuations.'' The point-cloud data are reduced to counts that measure membership in strips. Each anisotropy graph is reduced to a subgraph that consist of strips with significant counts. The algorithm rejects $\mathbf{H}_0$ whenever some such subgraph contains a path that connects many consecutive significant counts.Comment: Published at http://dx.doi.org/10.1214/009053605000000787 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org