When Langevin Monte Carlo Meets Randomization: New Sampling Algorithms with Non-asymptotic Error Bounds beyond Log-Concavity and Gradient Lipschitzness

Efficient sampling from complex and high dimensional target distributions turns out to be a fundamental task in diverse disciplines such as scientific computing, statistics and machine learning. In this paper, we propose a new kind of randomized splitting Langevin Monte Carlo (RSLMC) algorithm for sampling from high dimensional distributions without log-concavity. Compared with the existing randomized Langevin Monte Carlo (RLMC), the newly proposed RSLMC algorithm requires less evaluations of gradients and is thus computationally cheaper. Under the gradient Lipschitz condition and the log-Sobolev inequality, we prove a uniform-in-time error bound in W2-distance of order O(√dh) for both RLMC and RSLMC sampling algorithms, which matches the best one in the literature under the log-concavity condition. Moreover, when the gradient of the potential U is non-globally Lipschitz with superlinear growth, new modified R(S)LMC algorithms are introduced and analyzed, with non-asymptotic error bounds established. Numerical examples are finally reported to corroborate the theoretical findings.