Jul 12, 2020
Posterior distribution approximation is a central task in Bayesian inference. Stochastic gradient Langevin dynamics (SGLD) and its extensions have been widely used practically and studied theoretically. While SGLD updates a single particle at a time, ensemble methods that update multiple particles simultaneously have been recently gathering attention. Compared with the naive parallel-chain SGLD that updates multiple particles independently, ensemble methods update particles with their interactions. Thus, these methods are expected to be more particle-efficient than the naive parallel-chain SGLD because particles can be aware of other particles’ behavior through their interactions. Although ensemble methods demonstrated their superior performance numerically, no theoretical guarantee exists to assure such particle-efficiency and it is unclear whether those ensemble methods are really superior to the naive parallel-chain SGLD in the non-asymptotic settings. To cope with this problem, we propose a novel ensemble method that uses a non-reversible Markov chain for the interaction, and we present a non-asymptotic theoretical analysis for our method. Our analysis shows that, for the first time, the interaction causes a faster convergence rate than the naive parallel-chain SGLD in the non-asymptotic setting if the discretization error is appropriately controlled. Numerical experiments show that we can control the discretization error by tuning the interaction appropriately.
The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.
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