Abstract

The Gibbs sampler (a.k.a. Glauber dynamics and heat-bath algorithm) is a popular Markov Chain Monte Carlo algorithm which iteratively samples from the conditional distributions of a probability measure π of interest. Under the assumption that π is strongly log-concave, we show that the random scan Gibbs sampler contracts in relative entropy and provide a sharp characterization of the associated contraction rate. Assuming that evaluating conditionals is cheap compared to evaluating the joint density, our results imply that the number of full evaluations of π needed for the Gibbs sampler to mix grows linearly with the condition number and is independent of the dimension. If π is non-strongly log-concave, the convergence rate in entropy degrades from exponential to polynomial. Our techniques are versatile and extend to Metropolis-within-Gibbs schemes and the Hit-and-Run algorithm. A comparison with gradient-based schemes and the connection with the optimization literature are also discussed. This is joint work with Filippo Ascolani and Hugo Lavenant.