Global convergence of optimized adaptive importance samplers

We analyze the optimized adaptive importance sampler (OAIS) for performing Monte Carlo integration with general proposals. We leverage a classical result which shows that the bias and the mean-squared error (MSE) of the importance sampling scales with the chi2-divergence between the target and the proposal and develop a scheme which performs global optimization of chi2-divergence. While it is known that this quantity is convex for exponential family proposals, the case of the general proposals has been an open problem. We close this gap by utilizing the nonasymptotic bounds for stochastic gradient Langevin dynamics (SGLD) for the global optimization of chi2-divergence and derive nonasymptotic bounds for the MSE by leveraging recent results from non-convex optimization literature. The resulting AIS schemes have explicit theoretical guarantees that are uniform-in-time.