Stochastic Runge-Kutta Accelerates Langevin Monte Carlo and Beyond

Sampling with Markov chain Monte Carlo methods typically amounts to discretizing some continuous-time dynamics with numerical integration. In this paper, we establish the convergence rate of sampling algorithms obtained by discretizing smooth It\ o diffusions exhibiting fast 2 -Wasserstein contraction, based on local deviation properties of the integration scheme. In particular, we study a sampling algorithm constructed by discretizing the overdamped Langevin diffusion with the method of stochastic Runge-Kutta. For strongly convex potentials that are smooth up to a certain order, its iterates converge to the target distribution in 2 -Wasserstein distance in \tilde{\mathcal{O}}(d\epsilon {-2/3}) iterations. This improves upon the best-known rate for strongly log-concave sampling based on the overdamped Langevin equation using only the gradient oracle without adjustment.