Rapid Convergence of the Unadjusted Langevin Algorithm: Isoperimetry Suffices

We study the Unadjusted Langevin Algorithm (ULA) for sampling from a probability distribution $\nu =e^{-f}$ on ${\mathbb{R}}^n$. We prove a convergence guarantee in Kullback-Leibler (KL) divergence assuming $\nu$ satisfies a log-Sobolev inequality and the Hessian of $f$ is bounded. Notably, we do not assume convexity or bounds on higher derivatives. We also prove convergence guarantees in R'enyi divergence of order $q>1$ assuming the limit of ULA satisfies either the log-Sobolev or Poincar'e inequality. We also prove a bound on the bias of the limiting distribution of ULA assuming third-order smoothness of $f$, without requiring isoperimetry.