On the geometry of Stein variational gradient descent (N. Nüsken, Universität Potsam)

Jan 19
19-01-2021 12:00 Uhr bis 13:30 Uhr

Title: On the geometry of Stein variational gradient descent

Abstract: Bayesian inference problems require sampling or approximating high-dimensional probability distributions. The focus of this talk is on the recently introduced Stein variational gradient descent methodology, a class of algorithms that rely on iterated steepest descent steps with respect to a reproducing kernel Hilbert space norm. This construction leads to interacting particle systems, the mean-field limit of which is a gradient flow on the space of probability distributions equipped with a certain geometrical structure. We leverage this viewpoint as well as connections to the theory of large deviations to shed some light on the convergence properties of the algorithm, in particular addressing the problem of choosing a suitable positive definite kernel function. Time permitting the talk will also address recent results concerning connections between interacting particle schemes and inverse problems. This is joint work with A. Duncan (Imperial College London), L. Szpruch (University of Edinburgh) and M. Renger (Weierstrass Institute Berlin).

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Meeting-ID: 925 8687 9631
Kenncode: 408965