Zeroth-Order Sampling Methods for Non-Log-Concave Distributions: Alleviating Metastability by Denoising Diffusion

This paper considers the problem of sampling from non-logconcave distribution, based on queries of its unnormalized density. It first describes a framework, Diffusion Monte Carlo (DMC), based on the simulation of a denoising diffusion process with its score function approximated by a generic Monte Carlo estimator. DMC is an oracle-based meta-algorithm, where its oracle is the assumed access to samples that generate a Monte Carlo score estimator. Then we provide an implementation of this oracle, based on rejection sampling, and this turns DMC into a true algorithm, termed Zeroth-Order Diffusion Monte Carlo (ZOD-MC). We provide convergence analyses by first constructing a general framework, i.e. a performance guarantee for DMC, without assuming the target distribution to be log-concave or satisfying any isoperimetric inequality. Then we prove that ZOD-MC admits an inverse polynomial dependence on the desired sampling accuracy, albeit still suffering from the curse of dimensionality. Consequently, for low dimensional distributions, ZOD-MC is a very efficient sampler, with performance exceeding latest samplers, including also-denoising-diffusion-based RDMC and RS-DMC. Last, we experimentally demonstrate the insensitivity of ZOD-MC to increasingly higher barriers between modes or discontinuity in non-convex potential.