Stochstic Sampling for Generative Diffusion Models: From Euler-Maruyama to Higher-Order Schemes
We develop a convergence analysis for generative diffusion models that simultaneously accounts for the three principal error sources in stochastic sampling: initialization, score matching, and discretization of the reverse-time stochastic differential equation (SDE). Our central tool is the notion of a iterative-wise general strong scheme, a broad class of discretization methods for the reverse dynamics defined via explicit, index-wise tolerances on their Itô--Taylor coefficients. This notion refines Kloeden and Platen's general strong schemes into an iterate-wise formulation whose per-step conditions imply the classical remainder bound. We prove a 2-Wasserstein convergence theorem that applies to this entire class, reducing the analysis of any concrete sampler to a finite checklist, and covers general forward processes with time-dependent, spatially linear drift and spatially independent diffusion coefficient. We focus on dissipative reverse-time SDEs, which allows us to relax the $T$-dependence of the discretization and score-matching errors from exponential to polynomial. We instantiate our theorem for Euler--Maruyama, the exponential integrator, and, as our main application, derivative-free stochastic Runge--Kutta schemes of strong order $1.5$. To our knowledge, these are the first full convergence guarantees for solvers whose strong order strictly exceeds that of Euler--Maruyama. We further derive the resulting iteration complexity and a parameter-selection rule for the terminal time, score accuracy, and step size. Numerical experiments on Gaussian toy models and CIFAR-10 are consistent with the predicted convergence orders, and on ImageNet, out-of-the-box higher-order SDE solvers can yield substantial speed-ups, requiring at least four times fewer score evaluations than Euler--Maruyama. Code available at: https://github.com/emanuelpfarr/SSGDM.