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 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 was proved by Lovasz and Vempala.