Related papers: Scaling limit of the Stein variational gradient de…
Bayesian inference problems require sampling or approximating high-dimensional probability distributions. The focus of this paper is on the recently introduced Stein variational gradient descent methodology, a class of algorithms that rely…
There has been recently a lot of interest in the analysis of the Stein gradient descent method, a deterministic sampling algorithm. It is based on a particle system moving along the gradient flow of the Kullback-Leibler divergence towards…
In this paper we propose and analyze a novel multilevel version of Stein variational gradient descent (SVGD). SVGD is a recent particle based variational inference method. For Bayesian inverse problems with computationally expensive…
We present a new particle filtering algorithm for nonlinear systems in the discrete-time setting. Our algorithm is based on the Stein variational gradient descent (SVGD) framework, which is a general approach to sample from a target…
Stein Variational Gradient Descent (SVGD) is a widely used in practice algorithm for scalable sampling with deterministic particle updates. We study its behavior in the singular limit where the kernel bandwidth tends to zero. In this…
We describe the macroscopic behaviour of a particle system with long-range interactions. We describe conditions on the interaction strength in dependency of the distance of the particles, such that the scaling limit of the particle system…
We consider interacting particle dynamics with Vicsek type interactions, and their macroscopic PDE limit, in the non-mean-field regime; that is, we consider the case in which each particle/agent in the system interacts only with a…
Particle based optimization algorithms have recently been developed as sampling methods that iteratively update a set of particles to approximate a target distribution. In particular Stein variational gradient descent has gained attention…
We consider a discrete particle system of two species coupled through nonlocal interactions driven by the one-dimensional Newtonian potential, with repulsive self-interaction and attractive cross-interaction. After providing a suitable…
For interacting particle systems that satisfies the gradient condition, the hydrodynamic limit and the equilibrium fluctuations are well known. We prove that under the presence of a symmetric random environment, these scaling limits also…
Stein Variational Gradient Descent (SVGD) is a deterministic interacting-particle method for sampling from a target probability measure given access to its score function. In the mean-field and continuous-time limit, it is known that the…
We study an interacting particle system whose dynamics depends on an interacting random environment. As the number of particles grows large, the transition rate of the particles slows down (perhaps because they share a common resource of…
Stein variational gradient descent (SVGD) refers to a class of methods for Bayesian inference based on interacting particle systems. In this paper, we consider the originally proposed deterministic dynamics as well as a stochastic variant,…
Gradient flow in the 2-Wasserstein space is widely used to optimize functionals over probability distributions and is typically implemented using an interacting particle system with $n$ particles. Analyzing these algorithms requires showing…
We derive finite-particle rates for the regularized Stein variational gradient descent (R-SVGD) algorithm introduced by He et al. (2024) that corrects the constant-order bias of the SVGD by applying a resolvent-type preconditioner to the…
We study the Stein Variational Gradient Descent (SVGD) algorithm, which optimises a set of particles to approximate a target probability distribution $\pi\propto e^{-V}$ on $\mathbb{R}^d$. In the population limit, SVGD performs gradient…
This paper studies large deviations of a ``fully coupled" finite state mean-field interacting particle system in a fast varying environment. The empirical measure of the particles evolves in the slow time scale and the random environment…
The Stein Variational Gradient Descent (SVGD) algorithm is a deterministic particle method for sampling. However, a mean-field analysis reveals that the gradient flow corresponding to the SVGD algorithm (i.e., the Stein Variational Gradient…
In this short survey we compare aspects of two different approaches for scaling limits of interacting particle systems, the hydrodynamic limit and the high density limit. We present some examples, comments and open problems on each approach…
In this work, we derive particle schemes, based on micro-macro decomposition, for linear kinetic equations in the diffusion limit. Due to the particle approximation of the micro part, a splitting between the transport and the collision part…