Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Nonconvex Stochastic Optimization: Nonasymptotic Performance Bounds and Momentum-Based Acceleration

Xuefeng Gao, Mert Gürbüzbalaban, Lingjiong Zhu

Abstract: Nonconvex Stochastic OptimizationNonconvex stochastic optimization problems arise in many machine learning problems, including deep learning. The stochastic gradient Hamiltonian Monte Carlo (SGHMC)...