Accelerated Schrödinger-Föllmer samplers

Abstract

Sampling is a fundamental algorithmic task in wide-ranging applications across multiple disciplines such as scientific computing, statistics and machine learning. In this paper, an efficient stochastic Runge-Kutta scheme is proposed to accelerate the Schrödinger-Föllmer sampler, designed for sampling from complex and high-dimensional multimodal distributions. The resulting stochastic Runge-Kutta Schrödinger-Föllmer sampler (SRKSFS) is proved to achieve a convergence rate of order $\mathcal{O} ( h^{3/2} |\ln h|)$ in the $L^2$-Wasserstein distance, considerably improving the order $\mathcal{O}(h)$ of the existing Euler type sampler. Obtaining the enhanced convergence rate is, however, not trivial, by noting that the drift of the diffusion process is not differentiable but only $\frac{1}{2}$-Hölder continuity with respect to the time variable. To address the difficulty, we rely on delicate error estimates to overcome the singularity due to time derivatives of the drift, at the expense of the logarithmic factor. Furthermore, the framework is extended to data-driven Schrödinger-Föllmer generation with empirical measures, enabling data-driven sampling without known density. A variety of numerical experiments are reported to validate the effectiveness of the proposed sampling algorithms.