Optimal Covariance Inflation under Gaussian Tilts

Covariance-sensitive analyses of Gaussian annealing for sampling from a convex body require controlling how much covariance can grow under a radial Gaussian tilt. For an isotropic convex body $K\subseteq\mathbb{R}^n$, let $μ_{K,t} (\mathrm{d} x) \propto e^{-t\| x \| ^2} \mathbb{1}_K(x)\,\mathrm{d} x