Black-box sampling for weakly smooth Langevin Monte Carlo using p-generalized Gaussian smoothing

Abstract: Discretization of continuous-time diffusion processes is a widely recognized method for sampling. However, the canonical Euler-Maruyama discretization of the Langevin diffusion process, also named as Langevin Monte Carlo (LMC), studied mostly in the context of smooth (gradient-Lipschitz) and strongly log-concave densities, a significant constraint for its deployment in many sciences, including computational statistics and statistical learning. In this paper, we establish several theoretical contributions to the literature on such sampling methods. Particularly, we generalize the Gaussian smoothing, approximate the gradient using p-generalized Gaussian smoothing and take advantage of it in the context of black-box sampling. We first present a non-strongly concave and weakly smooth black-box LMC algorithm, ideal for practical applicability of sampling challenges in a general setting.