Rapid Mixing of Stereographic MCMC for Heavy-Tailed Sampling

Source abstract

Sampling from high-dimensional, heavy-tailed distributions is a fundamental challenge in computational statistics, as many standard Markov chain Monte Carlo (MCMC) methods mix poorly in such settings. Recently, Stereographic MCMC [Yang et al., 2024] and the Sub-Cauchy Projection Sampler [Grazzi et al., 2026] have been shown to perform successfully on such tasks. However, establishing their non-asymptotic convergence properties remains an important open problem. In this work, we fill this gap by establishing non-asymptotic upper bounds on the mixing time of the stereographic projection and sub-Cauchy projection samplers. Our results demonstrate that, under certain conditions on the target and initial distributions, the mixing time is polynomial in dimension for a broad class of distributions, including light- and heavy-tailed cases. Motivated by the theoretical analysis, we further establish a new weighted isoperimetric inequality that extends the classical version for log-concave distributions to the heavy-tailed setting with optimal dimension dependence. The proof techniques provide new insights into the geometric properties of heavy-tailed distributions that govern rapid mixing in high dimensions.