Sampling from a log-concave distribution with Projected Langevin Monte Carlo

We extend the Langevin Monte Carlo (LMC) algorithm to compactly supported measures via a projection step, akin to projected Stochastic Gradient Descent (SGD). We show that (projected) LMC allows to sample in polynomial time from a log-concave distribution with smooth potential. This gives a new Markov chain to sample from a log-concave distribution. Our main result shows in particular that when the target distribution is uniform, LMC mixes in Õ(n7) steps (where n is the dimension). We also provide preliminary experimental evidence that LMC performs at least as well as hit-and-run, for which a better mixing time of Õ(n4) was proved by Lovász and Vempala.