Sampling from Rough Energy Landscapes (1903.09998v3)

Abstract: We examine challenges to sampling from Boltzmann distributions associated with multiscale energy landscapes. The multiscale features, or "roughness," corresponds to highly oscillatory, but bounded, perturbations of a smooth landscape. Through a combination of numerical experiments and analysis we demonstrate that the performance of Metropolis Adjusted Langevin Algorithm can be severely attenuated as the roughness increases. In contrast, we prove that Random Walk Metropolis is insensitive to such roughness. We also formulate two alternative sampling strategies that incorporate large scale features of the energy landscape, while resisting the impact of fine scale roughness; these also outperform Random Walk Metropolis. Numerical experiments on these landscapes are presented that confirm our predictions. Open questions and numerical challenges are also highlighted.