Jiaming Liang

Thanh Dang, Jiaming Liang

We study two log-concave sampling problems: constrained sampling and composite sampling. First, we consider sampling from a target distribution with density proportional to $\exp(-f(x))$ supported on a convex set $K \subset \mathbb{R}^d$, where $f$ is convex. The main challenge is enforcing feasibility without degrading mixing. Using an epigraph transformation, we reduce this task to sampling from a nearly uniform distribution over a lifted convex set in $\mathbb{R}^{d+1}$. We then solve the lifted problem using a proximal sampler. Assuming only a separation oracle for $K$ and a subgradient oracle for $f$, we develop an implementation of the proximal sampler based on the cutting-plane method and rejection sampling. Unlike existing constrained samplers that rely on projection, reflection, barrier functions, or mirror maps, our approach enforces feasibility using only minimal oracle access, resulting in a practical and unbiased sampler without knowing the geometry of the constraint set. Second, we study composite sampling, where the target is proportional to $\exp(-f(x)-h(x))$ with closed and convex $f$ and $h$. This composite structure is standard in Bayesian inference with $f$ modeling data fidelity and $h$ encoding prior information. We reduce composite sampling via an epigraph lifting of $h$ to constrained sampling in $\mathbb{R}^{d+1}$, which allows direct application of the constrained sampling algorithm developed in the first part. This reduction results in a double epigraph lifting formulation in $\mathbb{R}^{d+2}$, on which we apply a proximal sampler. By keeping $f$ and $h$ separate, we further demonstrate how different combinations of oracle access (such as subgradient and proximal) can be leveraged to construct separation oracles for the lifted problem. For both sampling problems, we establish mixing time bounds measured in Rényi and $χ^2$ divergences.

Jiaming Liang, Yongxin Chen

We consider convex optimization with non-smooth objective function and log-concave sampling with non-smooth potential (negative log density). In particular, we study two specific settings where the convex objective/potential function is either Hölder smooth or in hybrid form as the finite sum of Hölder smooth components. To overcome the challenges caused by non-smoothness, our algorithms employ two powerful proximal frameworks in optimization and sampling: the proximal point framework for optimization and the alternating sampling framework (ASF) that uses Gibbs sampling on an augmented distribution. A key component of both optimization and sampling algorithms is the efficient implementation of the proximal map by the regularized cutting-plane method. We establish its iteration-complexity under both Hölder smoothness and hybrid settings using novel convergence analysis, yielding results that are new to the literature. We further propose an adaptive proximal bundle method for non-smooth optimization that employs an aggressive adaptive stepsize strategy, which adjusts stepsizes only when necessary and never rejects iterates. The proposed method is universal since it does not need any problem parameters as input. Additionally, we provide an exact implementation of a proximal sampling oracle, analogous to the proximal map in optimization, along with simple complexity analyses for both the Hölder smooth and hybrid cases, using a novel technique based on a modified Gaussian integral. Finally, we combine this proximal sampling oracle and ASF to obtain a Markov chain Monte Carlo method with non-asymptotic complexity bounds for sampling in Hölder smooth and hybrid settings.

Jiaming Liang

High-probability guarantees in stochastic optimization are often obtained only under strong noise assumptions such as sub-Gaussian tails. We show that such guarantees can also be achieved under the weaker assumption of bounded variance by developing a stochastic proximal point method. This method combines a proximal subproblem solver, which inherently reduces variance, with a probability booster that amplifies per-iteration reliability into high-confidence results. The analysis demonstrates convergence with low sample complexity, without restrictive noise assumptions or reliance on mini-batching.

Thanh Dang, Jiaming Liang

We propose new Markov chain Monte Carlo algorithms to sample a uniform distribution on a convex body $K$. Our algorithms are based on the Alternating Sampling Framework/proximal sampler, which uses Gibbs sampling on an augmented distribution and assumes access to the so-called restricted Gaussian oracle (RGO). The key contribution of this work is the efficient implementation of RGO for uniform sampling on $K$ via rejection sampling and access to either a projection oracle or a separation oracle on $K$. In both oracle cases, we establish non-asymptotic complexities to obtain unbiased samples where the accuracy is measured in Rényi divergence or $χ^2$-divergence.

Jiaming Liang, Yongxin Chen

In this work, we examine sampling problems with non-smooth potentials. We propose a novel Markov chain Monte Carlo algorithm for sampling from non-smooth potentials. We provide a non-asymptotical analysis of our algorithm and establish a polynomial-time complexity $\tilde {\cal O}(d\varepsilon^{-1})$ to obtain $\varepsilon$ total variation distance to the target density, better than most existing results under the same assumptions. Our method is based on the proximal bundle method and an alternating sampling framework. This framework requires the so-called restricted Gaussian oracle, which can be viewed as a sampling counterpart of the proximal mapping in convex optimization. One key contribution of this work is a fast algorithm that realizes the restricted Gaussian oracle for any convex non-smooth potential with bounded Lipschitz constant.