• Corpus ID: 246063656

Heavy-tailed Sampling via Transformed Unadjusted Langevin Algorithm

@inproceedings{He2022HeavytailedSV,
  title={Heavy-tailed Sampling via Transformed Unadjusted Langevin Algorithm},
  author={Ye He and Krishnakumar Balasubramanian and Murat A. Erdogdu},
  year={2022}
}
We analyze the oracle complexity of sampling from polynomially decaying heavy-tailed target densities based on running the Unadjusted Langevin Algorithm on certain transformed versions of the target density. The specific class of closed-form transformation maps that we construct are shown to be diffeomorphisms, and are particularly suited for developing efficient diffusion-based samplers. We characterize the precise class of heavy-tailed densities for which polynomial-order oracle complexities… 
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