Paper:
We consider the problem of generating configurations that satisfy physical constraints for optimal material nano-pattern design, where multiple (and often conflicting) properties need to be simultaneously satisfied. Consider, for example, the trade-off between thermal resistance, electrical conductivity, and mechanical stability needed to design a nano-porous template with optimal thermoelectric efficiency. To that end, we leverage the posterior regularization framework and show that this constraint satisfaction problem can be formulated as sampling from a Gibbs distribution. The main challenges come from the black-box nature of those physical constraints, since they are obtained via solving highly non-linear PDEs. To overcome those difficulties, we introduce Surrogate-based Constrained Langevin dynamics for black-box sampling. We explore two surrogate approaches. The first approach exploits zero-order approximation of gradients in the Langevin Sampling and we refer to it as Zero-Order Langevin. In practice, this approach can be prohibitive since we still need to often query the expensive PDE solvers. The second approach approximates the gradients in the Langevin dynamics with deep neural networks, allowing us an efficient sampling strategy using the surrogate model. We prove the convergence of those two approaches when the target distribution is log-concave and smooth. We show the effectiveness of both approaches in designing optimal nano-porous material configurations, where the goal is to produce nano-pattern templates with low thermal conductivity and reasonable mechanical stability.

Review:
The paper considers the problem of sampling points from a constrained set in R^d where the constraints can only be accessed in a zero order fashion. They consider the specific situation where the constraints are a solution of a complicated PDE solver and hence the derivatives or specific functional forms of the constraint cannot be obtained. They repose the problem as sampling from a Gibbs distribution whose potential contains constraints as penalties in a Lagrangian fashion. They now wish to sample from the Gibbs distribution using Langevin diffusion.  The Langevin process requires a derivative of the gradient. The setting does not allow for that and therefore the authors propose two approaches - 
1. Constructing the gradient from zeroth order entries of a gaussian smoothed potential (much like works of Nesterov et al on zero order optimization). 
2. Using a parameteric function class (like an RKHS or a neural network) to learn a function which well approximates the gradient of the constraints as well given zeroth order constraint evaluations. 
For the latter, the authors propose two approaches. Hermite learning which directly approximates the error on the gradient as well as the function evaluation. However this involves a separate estimate of the gradient (via a zero order approach such as Gaussian smoothing). An alternative which seems more sample efficient is to do direct learning from zero order samples by penalizing first-order Taylor approximation between given points. 
The authors provide a theoretical analysis of the all the approaches and sub-approaches given above and further provide experiments to evaluate this on a problem from material design. I am not at all familiar with the domain of the experiments to comment on competing approaches. As far as I can see the authors also compare only their own proposed algorithms which are many. I will focus on the theoretical analysis which seems to form the bulk of the paper anyway. 
The theoretical analysis seems quite rigorous as it begins by first providing a basic guarantee for constrained langevin sampling when gradients are computed with error. The non error gradient part of this analysis has been established before and the authors mention the references appropriately. I have a couple of questions regarding the precise statements of the theorem that i will ask towards the end of the review. Overall its hard to comment on the tightness of the analysis as the non-error versions are also unclear of the tightness of the bounds. Nevertheless the bounds achieved do not look much worse than the non-error counterparts and are easy to implement. The rest of the bounds focus on achieving low error in approximation of the gradients in various settings. Overall the theory in this part seems very loose in terms of bounds as exponential factors in dimensions start to appear and in that regard seems quite preliminary but its hard to comment on whether its natural or can be improved. 
Overall the paper is a rigorous treatment of multiple components that would go into the problem of sampling zero order constrained sets and merges many ideas which can all be useful. Nevertheless the paper is a little lacking of novelty in the sense that it brings together many existing ideas and provides an analysis of the effect of bringing them together but none of the theory significantly improves over the existing theory.
Some questions I have regarding the theorem statements 
Regarding theorem 1 SPLMC convergence  (and corollaries of the theorem) -  I find it surprising that there is no lower bound assumption on eta in terms of K - only an upper bound. This seems wrong particularly as the theorem as stated then allows eta to be set extremely small while K is finite, in which case there should be no convergence theorems at all. The condition on eta should be a theta(f (K)) for some f type of condition like in the second part of the theorem. I would suggest the authors to look into the theorem - or claify why this is the case. 
I am confused by the presentation of the Shi et al results as there is no penalty appearing for the approximation error due to an RKHS, only a finite sample penalty. Does the result assume that phi belongs to the function class of the RKHS in question? Probably yes and in that case that should be specified.