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Poster

Long-time asymptotics of noisy SVGD outside the population limit

Victor Priser · PASCAL BIANCHI · Adil Salim

Hall 3 + Hall 2B #417
[ ]
Fri 25 Apr 7 p.m. PDT — 9:30 p.m. PDT

Abstract: Stein Variational Gradient Descent (SVGD) is a widely used sampling algorithm that has been successfully applied in several areas of Machine Learning. SVGD operates by iteratively moving a set of n interacting particles (which represent the samples) to approximate the target distribution. Despite recent studies on the complexity of SVGD and its variants, their long-time asymptotic behavior (i.e., after numerous iterations k) is still not understood in the finite number of particles regime. We study the long-time asymptotic behavior of a noisy variant of SVGD. First, we establish that the limit set of noisy SVGD for large k is well-defined. We then characterize this limit set, showing that it approaches the target distribution as n increases. In particular, noisy SVGD avoids the variance collapse observed for SVGD. Our approach involves demonstrating that the trajectories of noisy SVGD closely resemble those described by a McKean-Vlasov process.

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