Paper detail

Time-complexity of sampling from a multimodal distribution using sequential Monte Carlo

We study a sequential Monte Carlo algorithm to sample from the Gibbs measure with a non-convex energy function at a low temperature. We use the practical and popular geometric annealing schedule, and use a Langevin diffusion at each temperature level. The Langevin diffusion only needs to run for a time that is long enough to ensure local mixing within energy valleys, which is much shorter than the time required for global mixing. Our main result shows convergence of Monte Carlo estimators with time complexity that, approximately, scales like the fourth power of the inverse temperature, and the square of the inverse allowed error. We also study this algorithm in an illustrative model scenario where more explicit estimates can be given.