Accelerated Information Gradient flow

Wuchen Li
University of California, Los Angeles (UCLA)

We present a systematic framework for the Nesterov's accelerated gradient flows in the spaces of probabilities embedded with information metrics. Here two metrics are considered, including both the Fisher-Rao metric and the Wasserstein-2 metric. For the Wasserstein-2 metric case, we prove the convergence properties of the accelerated gradient flows, and introduce their formulations in Gaussian families. Furthermore, we propose a practical discrete-time algorithm in particle implementations with an adaptive restart technique. We formulate a novel bandwidth selection method, which learns the Wasserstein-2 gradient direction from Brownian-motion samples. Experimental results including Bayesian inference show the strength of the current method compared with the state-of-the-art.
Further connections with inverse problems and data related optimization techniques will be discussed.

Back to Workshop II: PDE and Inverse Problem Methods in Machine Learning