Momentum Particle Maximum Likelihood

Jen Ning Lim, Juan Kuntz, Samuel Power, Adam Michael Johansen

Abstract: Maximum likelihood estimation (MLE) of latent variable models is often recast as the minimization of a free energy functional over an extended space of parameters and probability distributions. This perspective was recently combined with insights from optimal transport to obtain novel particle-based algorithms for fitting latent variable models to data. Drawing inspiration from prior works which interpret `momentum-enriched' optimization algorithms as discretizations of ordinary differential equations, we propose an analogous dynamical-systems-inspired approach to minimizing the free energy functional. The result is a dynamical system that blends elements of Nesterov's Accelerated Gradient method, the underdamped Langevin diffusion, and particle methods. Under suitable assumptions, we prove that the continuous-time system minimizes the functional. By discretizing the system, we obtain a practical algorithm for MLE in latent variable models. The algorithm outperforms existing particle methods in numerical experiments and compares favourably with other MLE algorithms.

Submission Number: 1639