Time-Inhomogeneous Preconditioned Langevin Dynamics
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866914539516198912 |
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| author | Falk, Alexander Nagler, Laurenz Habring, Andreas Pock, Thomas |
| author_facet | Falk, Alexander Nagler, Laurenz Habring, Andreas Pock, Thomas |
| contents | Langevin sampling from distributions of the form $p(x) \propto \exp(-Ψ(x))$ faces two major challenges: (global) mode coverage and (local) mode exploration. The first challenge is particularly relevant for multi-modal distributions with disjoint modes, whereas the second arises when the potential $Ψ$ exhibits diverse and ill-conditioned local mode geometry. To address these challenges, a common approach is to precondition Langevin dynamics with problem-specific information, such as the sample covariance or the local curvature of $Ψ$. However, existing preconditioner choices inherently involve a trade-off between global mode coverage and local mode exploration, and no prior method resolves both simultaneously. To overcome this limitation, we propose the TIPreL, which introduces a time- and position-dependent preconditioner. This design effectively addresses both challenges mentioned above within a single framework. We establish convergence of the resulting dynamics in the Wasserstein-2 distance both in continuous time and for a tamed Euler discretization. In particular, our analysis extends the existing state of the art by proving convergence under time- and space-dependent diffusion coefficients, and only locally Lipschitz drifts, which has not been covered by prior work. Finally, we experimentally compare TIPreL with competing preconditioning schemes on a two-dimensional, severely ill-posed example and on a Bayesian logistic regression task in higher dimensions, confirming the efficiency of the proposed method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_06091 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Time-Inhomogeneous Preconditioned Langevin Dynamics Falk, Alexander Nagler, Laurenz Habring, Andreas Pock, Thomas Statistics Theory Machine Learning Probability Computation Langevin sampling from distributions of the form $p(x) \propto \exp(-Ψ(x))$ faces two major challenges: (global) mode coverage and (local) mode exploration. The first challenge is particularly relevant for multi-modal distributions with disjoint modes, whereas the second arises when the potential $Ψ$ exhibits diverse and ill-conditioned local mode geometry. To address these challenges, a common approach is to precondition Langevin dynamics with problem-specific information, such as the sample covariance or the local curvature of $Ψ$. However, existing preconditioner choices inherently involve a trade-off between global mode coverage and local mode exploration, and no prior method resolves both simultaneously. To overcome this limitation, we propose the TIPreL, which introduces a time- and position-dependent preconditioner. This design effectively addresses both challenges mentioned above within a single framework. We establish convergence of the resulting dynamics in the Wasserstein-2 distance both in continuous time and for a tamed Euler discretization. In particular, our analysis extends the existing state of the art by proving convergence under time- and space-dependent diffusion coefficients, and only locally Lipschitz drifts, which has not been covered by prior work. Finally, we experimentally compare TIPreL with competing preconditioning schemes on a two-dimensional, severely ill-posed example and on a Bayesian logistic regression task in higher dimensions, confirming the efficiency of the proposed method. |
| title | Time-Inhomogeneous Preconditioned Langevin Dynamics |
| topic | Statistics Theory Machine Learning Probability Computation |
| url | https://arxiv.org/abs/2605.06091 |