Convergence of Stein Variational Gradient Descent under a Weaker Smoothness Condition

arXiv2206.00508MaRDI QIDQ6400815FDOQ6400815

Authors: Lukang Sun, Avetik Karagulyan, Peter Richtárik 

Publication date: 1 June 2022

Abstract: Stein Variational Gradient Descent (SVGD) is an important alternative to the Langevin-type algorithms for sampling from probability distributions of the form $pi(x)proptoexp(-V(x))$. In the existing theory of Langevin-type algorithms and SVGD, the potential function $V$ is often assumed to be $L$-smooth. However, this restrictive condition excludes a large class of potential functions such as polynomials of degree greater than $2$. Our paper studies the convergence of the SVGD algorithm for distributions with $(L_0,L_1)$-smooth potentials. This relaxed smoothness assumption was introduced by Zhang et al. [2019a] for the analysis of gradient clipping algorithms. With the help of trajectory-independent auxiliary conditions, we provide a descent lemma establishing that the algorithm decreases the $mathrmKL$ divergence at each iteration and prove a complexity bound for SVGD in the population limit in terms of the Stein Fisher information.

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