Convergence of mean-field Langevin dynamics: Time and space discretization, stochastic gradient, and variance reduction

• URL: http://arxiv.org/abs/2306.07221v1
• Date: Mon, 12 Jun 2023 16:28:11 GMT
• Title: Convergence of mean-field Langevin dynamics: Time and space discretization, stochastic gradient, and variance reduction
• Authors: Taiji Suzuki and Denny Wu and Atsushi Nitanda
• Abstract summary: The mean-field Langevin dynamics (MFLD) is a nonlinear generalization of the Langevin dynamics that incorporates a distribution-dependent drift. Recent works have shown that MFLD globally minimizes an entropy-regularized convex functional in the space of measures. We provide a framework to prove a uniform-in-time propagation of chaos for MFLD that takes into account the errors due to finite-particle approximation, time-discretization, and gradient approximation.
• Score: 49.66486092259376
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The mean-field Langevin dynamics (MFLD) is a nonlinear generalization of the Langevin dynamics that incorporates a distribution-dependent drift, and it naturally arises from the optimization of two-layer neural networks via (noisy) gradient descent. Recent works have shown that MFLD globally minimizes an entropy-regularized convex functional in the space of measures. However, all prior analyses assumed the infinite-particle or continuous-time limit, and cannot handle stochastic gradient updates. We provide an general framework to prove a uniform-in-time propagation of chaos for MFLD that takes into account the errors due to finite-particle approximation, time-discretization, and stochastic gradient approximation. To demonstrate the wide applicability of this framework, we establish quantitative convergence rate guarantees to the regularized global optimal solution under (i) a wide range of learning problems such as neural network in the mean-field regime and MMD minimization, and (ii) different gradient estimators including SGD and SVRG. Despite the generality of our results, we achieve an improved convergence rate in both the SGD and SVRG settings when specialized to the standard Langevin dynamics.

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