Stochastic Gradient Langevin Dynamics

We propose penalized nonreversible Langevin algorithms for sampling from $π(x)\propto e^{-f(x)}\mathbf 1_{\mathcal C}(x)$, where $\mathcal C\subset\mathbb R^d$ is a compact convex set. The algorithms combine a squared distance penalty with constant or compatible state dependent skew symmetric perturbations that preserve the penalized Gibbs distribution. For smooth, possibly nonconvex $f$, we derive nonasymptotic total variation bounds for the full gradient algorithm under a log Sobolev inequality. When unbiased stochastic gradients are available, we establish $2$-Wasserstein bounds under global contraction and Lipschitz conditions on the full drift in an adapted quadratic metric. For a fixed penalty parameter, the error relative to the penalized Gibbs distribution decays exponentially to an $\mathcal{O}(\sqrtη)$ neighborhood, where $η$ is the stepsize. We also bound the discrepancy between the penalized Gibbs distribution and the constrained target. In a two dimensional quadratic model, we establish nonreversible acceleration by tuning the skew perturbation to the curvature imbalance induced by penalization. With the target accuracy and smaller curvature fixed and initial Wasserstein distances uniformly bounded, tuning the skew perturbation improves the sufficient Euler iteration bound from linear to logarithmic in the curvature ratio. Numerical experiments evaluate the algorithms on constrained Bayesian regression, classification, neural networks, and truncated sampling, and examine the acceleration mechanism in a stochastic quadratic model.

We study the problem of sampling from target distributions whose potentials are simultaneously non-smooth, subject to superlinear gradient growth, and non-convex. We introduce the Subgradient Tamed Unadjusted Langevin Algorithm (SG-TULA), a discretisation of the Langevin diffusion that operates directly on subgradients, without relying on computationally demanding smoothing procedures. To handle the superlinear regime, taming techniques are employed to produce a stable, explicit scheme. We derive non-asymptotic convergence bounds in Wasserstein-2 distance, with all constants tracked explicitly in terms of dimension and inverse temperature, improving upon the currently known rates for subgradient-based Langevin algorithms. We further provide excess risk estimates for the associated optimisation problem. We verify the assumptions, with explicit constants, for the regularized pretraining potential of a LLM in the GPT-2 lineage and the boosted coordinate-wise variant of SG-TULA pretrains the former competitively against finetuned AdamW and Muon, for which no comparable non-asymptotic guarantees are presently available.

Joint Energy-Based Models (JEM) unify classification and generation within a single network and support out-of-distribution (OOD) detection. Canonical JEM training relies on stochastic gradient Langevin dynamics (SGLD); a theoretically motivated alternative, the Predictor-Corrector (PC) sampler, has not previously undergone a systematic replication test on the canonical model. We reproduce canonical JEM on WideResNet-28-10 without normalisation layers on two independent runs and test a fixed-noise PC adaptation - with the degenerate annealed-noise predictor replaced by a deterministic gradient step - across three protocols: the adapted sampler replacing SGLD throughout the full training trajectories (115-132 epochs); cold-start generation (FID); and refinement-style multi-OOD detection (AUROC). The reconstruction reaches 92.88% test accuracy and buffer-FID 44.46 (canonical: 92.9% and 38.40). We document two failure modes: catastrophic late-training divergence with the signature of the canonical outlier-buffer mechanism (all four runs), and run-dependent SVHN OOD-discrimination dynamics. No consistent method-level advantage of the adaptation over SGLD is observed on any protocol: refinement AUROC differences stay below 0.007 across ten checkpoint-OOD pairs; seeded cold-start generation favours SGLD by about five FID points; on the training protocol a hierarchical seed-by-image bootstrap gives a 95% confidence interval on the macro-averaged AUROC difference that contains zero, while a seed-level equivalence test with two runs per method cannot establish formal equivalence. The training-protocol data are consistent both with equivalence and with a small directional effect. This outcome is consistent with theory: the guarantees of the annealed-noise PC framework do not transfer to the constant-noise regime of canonical JEM.

We introduce RELTA-SGLD, a taming scheme that stabilizes superlinear stochastic-gradient updates while reducing unnecessary suppression of the original learning drift. A threshold determines where the taming turns on, while a relative-growth principle derived from the one-step Lyapunov stability condition determines the required taming strength. Together, they produce a lighter $λ$-scale denominator and preserve a nonvanishing far-tail return. As a consequence, we prove polynomial moment stability and first-order stationary accuracy in both $W_1$ and $W_2$ for nonconvex SGLD with superlinearly growing stochastic-gradient oracles, improving the corresponding half-order and quarter-order bounds for comparable stochastic-gradient tamed schemes. On Fashion-MNIST under active stabilization pressure, RELTA improves the mean learning metrics over both untamed SGLD and TUSLA and remains competitive with a tuned AdamW reference. In an ordinary-training regime, its lighter localized denominator reduces unnecessary perturbation of the original update and maintains nearly untamed learning dynamics.

We study the leading-order fluctuation of stochastic gradient Euler-Maruyama estimators for generalized non-reversible Langevin dynamics. Under structural assumptions tailored to the small-stepsize central limit theorem and under an unbiased stochastic gradient oracle, we prove that the empirical average over a horizon of order the inverse squared stepsize satisfies a central limit theorem in the vanishing-stepsize regime. The limiting variance is characterized through the Poisson equation of the limiting full-gradient diffusion. We then rewrite this constant in an operator form that links it to the continuous-time asymptotic variance and, under standard operator-theoretic assumptions, derive a sufficient condition under which an anti-symmetric perturbation strictly reduces the leading-order fluctuation constant relative to the reversible baseline. We also identify bounded smooth predictive observables that re directly covered by the main theorem. As a separate Gaussian calculation beyond the bounded-test-function regime, we obtain closed-form formulas for quadratic Hamiltonians and linear observables. The framework covers non-reversible Langevin dynamics and augmented-state examples including Hessian-free high-resolution dynamics and a positive-definite subclass of gradient-adjusted underdamped Langevin dynamics that allow stochastic gradients. Numerical experiments on basic examples and Bayesian linear regression using synthetic data, and Bayesian logistic regression using real data support the predicted Gaussian fluctuations and show that the non-reversible schemes consistently reduce the root mean squared error (RMSE) relative to their reversible baselines.

Stochastic gradient Langevin algorithms often use tamed denominators to stabilize superlinear drifts. This paper shows that when the denominator depends on the current stochastic gradient, the transformed update can have a biased conditional mean even if the original stochastic gradient is unbiased. This creates a stationary mean-shift channel that is absent for deterministic denominators.We propose a structure-preserving framework for designing tamed denominators. The construction keeps the denominator deterministic given the current state, and uses localized deterministic envelopes to avoid unnecessary taming in typical regions. These kernels retain the stabilizing effect of taming while avoiding the bias introduced by a gradient-dependent denominator. Our theory bounds the stationary bias through Euler, envelope, and stochastic-gradient residuals. The analysis also shows why purely local taming rules can lose control in the far tail and motivates a hybrid construction with additional tail protection. Experiments confirm the stationary distortions of random denominators, the bias reduction of deterministic-envelope designs, and the stabilizing effect of the hybrid construction.

Stochastic gradient Langevin dynamics combined with Gibbs updates (SGLD--Gibbs) provides a highly scalable approach to approximate Bayesian inference in latent variable models. However, it remains unclear how to tune the algorithm's hyperparameters in a principled manner to ensure the uncertainty estimates are statistically meaningful. In this work, we address this gap in tuning guidance by developing a statistical scaling limit theory for SGLD--Gibbs. We derive a joint asymptotic limit for the global parameters and latent variables under appropriate space-time rescaling. We show that global parameters converge to a diffusion-type limit, while each latent variable converges to a jump process, reflecting the use of intermittent Gibbs updates. This joint jump-diffusion structure reveals how latent-variable randomness contributes to the stationary distribution of the global parameters. We leverage our results to propose explicit guidance on hyperparameter tuning for SGLD--Gibbs that ensures meaningful uncertainty quantification. Numerical experiments show that SGLD--Gibbs with our tuning guidance leads to better parameter estimates, uncertainty quantification, and predictive performance than stochastic variational inference.

Tuning algorithms such as stochastic gradient descent (SGD) and stochastic gradient Langevin dynamics (SGLD) for approximate sampling and uncertainty quantification remains challenging, particularly in the practically relevant settings when the batch size is large or the model is misspecified. Existing theory that provides tuning guidance relies on continuous-time limits or strong statistical assumptions, which can become quantitatively inaccurate in these regimes. We address these shortcomings by proposing new discrete-time approximations to SG(L)D with and without momentum, which enables accurate predictions of the stationary covariance, iterate average covariance, and integrated autocorrelation time. Moreover, we prove quantitative, non-asymptotic error bounds showing that these estimates are sufficiently accurate for practical tuning and uncertainty quantification. Numerical experiments demonstrate that our theory yields improved tuning guidance across a range of models and data-generating distributions where existing approaches fail, including when using the $β$-divergence rather than log-loss to obtain statistically robust inferences.

We establish improved nonasymptotic bounds for Langevin Monte Carlo in the strongly log-concave setting, when the error is measured by the Wasserstein distance. The main result shows that the discretization error is governed by an average coordinate-wise smoothness constant, rather than by the usual global smoothness constant. The proof is short and probabilistic, and relies on a refined use of the synchronous coupling. We further show that the same ideas lead to improved bounds for variable step sizes, for potentials whose Laplacian is Lipschitz-continuous, and for finite-sum problems sampled by stochastic-gradient Langevin dynamics with fixed point control variates. In the Laplacian-smooth case, the usual Hessian-Lipschitz contribution is replaced by a weaker trace-type third-order smoothness quantity. In the finite-sum setting, the resulting SGLD bound improves the dependence on the root mean square smoothness of the component functions. Applications to generalized linear models with Gaussian design show that these refinements can yield substantial, dimension-dependent improvements over previously known bounds, especially for correlated covariates.

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.

We present quantum speedups for sampling from distributions of the form $π\propto e^{-f}$ on $\mathbb{R}^d$. We consider two stochastic oracle models: a stochastic gradient oracle, where $f=\frac{1}{n}\sum_{i=1}^n f_i$ and component gradients $\{\nabla f_i\}_{i \in [n]}$ are available, and a stochastic evaluation oracle, where only noisy values of $f$ are available. Our framework accelerates classical stochastic Langevin Monte Carlo (LMC) and Hamiltonian Monte Carlo (HMC) algorithms by replacing stochastic gradient estimators with variance-controlled quantum mean estimation and gradient estimation subroutines. Unlike quantum walk based approaches, our algorithms do not require reversibility or exact gradients, and they preserve the structure of the underlying Markov chain. In the finite-sum setting, quantum mean estimation combined with classical variance-reduction techniques improves the stochastic gradient-query complexity for the approximate sampling task. In the stochastic zeroth-order setting, we develop gradient estimators robust to noisy function evaluations, yielding improved evaluation complexity for LMC and HMC. These results apply to strongly log-concave and/or non-log-concave distributions satisfying a log-Sobolev inequality, with convergence guarantees in Wasserstein distance and Kullback--Leibler divergence. We also show that faster sampling methods lead to quantum speedups for optimization, including for non-smooth and approximately convex objectives.