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arXiv 提交日期: 2026-02-16
📄 Abstract - Constrained and Composite Sampling via Proximal Sampler

We study two log-concave sampling problems: constrained sampling and composite sampling. First, we consider sampling from a target distribution with density proportional to $\exp(-f(x))$ supported on a convex set $K \subset \mathbb{R}^d$, where $f$ is convex. The main challenge is enforcing feasibility without degrading mixing. Using an epigraph transformation, we reduce this task to sampling from a nearly uniform distribution over a lifted convex set in $\mathbb{R}^{d+1}$. We then solve the lifted problem using a proximal sampler. Assuming only a separation oracle for $K$ and a subgradient oracle for $f$, we develop an implementation of the proximal sampler based on the cutting-plane method and rejection sampling. Unlike existing constrained samplers that rely on projection, reflection, barrier functions, or mirror maps, our approach enforces feasibility using only minimal oracle access, resulting in a practical and unbiased sampler without knowing the geometry of the constraint set. Second, we study composite sampling, where the target is proportional to $\exp(-f(x)-h(x))$ with closed and convex $f$ and $h$. This composite structure is standard in Bayesian inference with $f$ modeling data fidelity and $h$ encoding prior information. We reduce composite sampling via an epigraph lifting of $h$ to constrained sampling in $\mathbb{R}^{d+1}$, which allows direct application of the constrained sampling algorithm developed in the first part. This reduction results in a double epigraph lifting formulation in $\mathbb{R}^{d+2}$, on which we apply a proximal sampler. By keeping $f$ and $h$ separate, we further demonstrate how different combinations of oracle access (such as subgradient and proximal) can be leveraged to construct separation oracles for the lifted problem. For both sampling problems, we establish mixing time bounds measured in Rényi and $\chi^2$ divergences.

顶级标签: machine learning theory
详细标签: log-concave sampling proximal sampler constrained sampling composite sampling mixing time 或 搜索:

基于邻近采样器的约束与复合采样方法 / Constrained and Composite Sampling via Proximal Sampler


1️⃣ 一句话总结

这篇论文提出了一种新的采样方法,通过将复杂的约束或复合分布问题转化为高维空间中的均匀采样问题,并利用邻近采样器高效求解,从而无需依赖复杂的几何知识就能生成无偏样本,适用于贝叶斯推断等场景。

源自 arXiv: 2602.14478