On the Ergodicity, Bias and Asymptotic Normality of Randomized Midpoint Sampling Method

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Authors

Ye He, Krishnakumar Balasubramanian, Murat A. Erdogdu

Abstract

<p>The randomized midpoint method, proposed by (Shen and Lee, 2019), has emerged as an optimal discretization procedure for simulating the continuous time underdamped Langevin diffusion. In this paper, we analyze several probabilistic properties of the randomized midpoint discretization method, considering both overdamped and underdamped Langevin dynamics. We first characterize the stationary distribution of the discrete chain obtained with constant step-size discretization and show that it is biased away from the target distribution. Notably, the step-size needs to go to zero to obtain asymptotic unbiasedness. Next, we establish the asymptotic normality of numerical integration using the randomized midpoint method and highlight the relative advantages and disadvantages over other discretizations. Our results collectively provide several insights into the behavior of the randomized midpoint discretization method, including obtaining confidence intervals for numerical integrations.</p>