Rapid Convergence of the Unadjusted Langevin Algorithm: Isoperimetry Suffices

We study the Unadjusted Langevin Algorithm (ULA) for sampling from a probability distribution $\nu = e^{-f}$ on $\mathbb{R}^n$. We prove a convergence guarantee in Kullback-Leibler (KL) divergence assuming $\nu$ satisfies a log-Sobolev inequality and the Hessian of $f$ is bounded. Notably, we do not assume convexity or bounds on higher derivatives. We also prove convergence guarantees in R\ényi divergence of order $q > 1$ assuming the limit of ULA satisfies either the log-Sobolev or Poincar\é inequality. We also prove a bound on the bias of the limiting distribution of ULA assuming third-order smoothness of $f$, without requiring isoperimetry.