Complexity of randomized algorithms for underdamped Langevin dynamics

Journal Article

We establish an information complexity lower bound of randomized algorithms for simulating underdamped Langevin dynamics. More specifically, we prove that the worst $L^2$ strong error is of order $\Omega(\sqrt{d}\, N^{-3/2})$, for solving a family of $d$-dimensional underdamped Langevin dynamics, by any randomized algorithm with only $N$ queries to $\nabla U$, the driving Brownian motion and its weighted integration, respectively. The lower bound we establish matches the upper bound for the randomized midpoint method recently proposed by Shen and Lee [NIPS 2019], in terms of both parameters $N$ and $d$.

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Duke Authors

Cited Authors

  • Cao, Y; Lu, J; Wang, L