Gradient-free Riemannian Langevin Sampler

We propose Decentralized Proximal Stochastic Gradient Langevin Dynamics (DE-PSGLD), a decentralized Markov chain Monte Carlo (MCMC) algorithm for sampling from a log-concave probability distribution constrained to a convex domain. Constraints are enforced through a shared proximal regularization based on the Moreau-Yosida envelope, enabling unconstrained updates while preserving consistency with the target constrained posterior. We establish non-asymptotic convergence guarantees in the 2-Wasserstein distance for both individual agent iterates and their network averages. Our analysis shows that DE-PSGLD converges to a regularized Gibbs distribution and quantifies the bias introduced by the proximal approximation. We evaluate DE-PSGLD for different sampling problems on synthetic and real datasets. As the first decentralized approach for constrained domains, our algorithm exhibits fast posterior concentration and high predictive accuracy.

Efficient sampling from Boltzmann distributions over discrete variables is a fundamental operation in a wide range of applications. While fast non-MCMC samplers have recently emerged as promising alternatives to conventional MCMC methods, their practical use for probabilistic learning remains hindered by the difficulty of estimating the effective temperature of the generated samples. In this work, we begin by introducing Langevin simulated bifurcation (LSB), a Boltzmann sampler that enables fast and parallel sampling with accuracy comparable to sequential MCMC methods. To address the challenge of unknown effective temperature, we propose conditional expectation matching (CEM), an efficient estimation method applicable to energy-based models (EBMs) with exploitable conditional independence structures. Building on these components, we further develop a learning framework, termed sampler adaptive learning (SAL), which adaptively adjusts the model temperature to match that of the distribution induced by fast non-MCMC sampling. We demonstrate the effectiveness of LSB, CEM, and SAL on semi-restricted Boltzmann machines (SRBMs), a class of EBMs that are difficult to train using conventional approaches. LSB achieves orders-of-magnitude acceleration over Gibbs sampling while maintaining comparable or higher accuracy, and CEM enables accurate temperature estimation of the resulting distribution with negligible computational overhead. As a consequence, SAL enables efficient training of SRBMs and outperforms conventional Boltzmann machine learning methods on synthetic spin-glass datasets. In addition, the trained models achieve strong performance across multiple tasks. These results establish LSB as a fast and accurate Boltzmann sampler and provide key insights that enable practical applications of fast non-MCMC sampling methods via efficient temperature estimation with CEM.

We develop sampling methods, which consist of Gaussian invariant versions of random walk Metropolis (RWM), Metropolis adjusted Langevin algorithm (MALA) and second order Hessian or Manifold MALA. Unlike standard RWM and MALA, we show that Gaussian invariant sampling can lead to ergodic estimators with improved statistical efficiency. This is due to a remarkable property of Gaussian invariance that allows us to obtain exact analytical solutions to the Poisson equation for Gaussian targets. These solutions can be used to construct efficient and easy to use control variates for variance reduction of estimators under any intractable target. We demonstrate the new samplers and estimators in several examples, including high dimensional targets in latent Gaussian models where we compare against several advanced methods and obtain state-of-the-art results. We also provide theoretical results regarding geometric ergodicity, and an optimal scaling analysis that shows the dependence of the optimal acceptance rate on the Gaussianity of the target.