Accelerated Gradient Flow for Probability Distributions

Amirhossein Taghvaei, Prashant G. Mehta

Abstract: This paper presents a methodology and numerical algorithms for constructing accelerated gradient flows on the space of probability distributions. In particular, we extend the recent variational formulation of accelerated gradient methods in wibisono2016 from vector valued variables to probability distributions. The variational problem is modeled as a mean-field optimal control problem. The maximum principle of optimal control theory is used to derive Hamilton's equations for the optimal gradient flow. The Hamilton's equation are shown to achieve the accelerated form of density transport from any initial probability distribution to a target probability distribution. A quantitative estimate on the asymptotic convergence rate is provided based on a Lyapunov function construction, when the objective functional is displacement convex. Two numerical approximations are presented to implement the Hamilton's equations as a system of N interacting particles. The continuous limit of the Nesterov's algorithm is shown to be a special case with N=1. The algorithm is illustrated with numerical examples.

Keywords: Optimal transportation, Mean-field optimal control, Wasserstein gradient flow, Markov-chain Monte-Carlo

TL;DR: Methodology and numerical algorithms for constructing accelerated gradient flows on the space of probability distributions.