We consider the problem of sampling from a strongly log-concave density in $mathbb{R}^d$, and prove a non-asymptotic upper bound on the mixing time of the Metropolis-adjusted Langevin algorithm (MALA). The method draws samples by simulating a Markov chain obtained from the discretization of an appropriate Langevin diffusion, combined with an accept-reject step. Relative to known guarantees for the unadjusted Langevin algorithm (ULA), our bounds show that the use of an accept-reject step in MALA leads to an exponentially improved dependence on the error-tolerance. Concretely, in order to obtain samples with TV error at most $delta$ for a density with condition number $kappa$, we show that MALA requires $mathcal{O} big(kappa d log(1/delta) big)$ steps, as compared to the $mathcal{O} big(kappa^2 d/delta^2 big)$ steps established in past work on ULA. We also demonstrate the gains of MALA over ULA for weakly log-concave densities. Furthermore, we derive mixing time bounds for the Metropolized random walk (MRW) and obtain $mathcal{O}(kappa)$ mixing time slower than MALA. We provide numerical examples that support our theoretical findings, and demonstrate the benefits of Metropolis-Hastings adjustment for Langevin-type sampling algorithms.
Download