Related papers: The Wasserstein Proximal Gradient Algorithm
A nonlinear diffusion equation, interpreted as a Wasserstein gradient flow, is numerically solved in one space dimension using a higher-order minimizing movement scheme based on the BDF (backward differentiation formula) discretization. In…
Variational inference, such as the mean-field (MF) approximation, requires certain conjugacy structures for efficient computation. These can impose unnecessary restrictions on the viable prior distribution family and further constraints on…
We develop a fast and scalable numerical approach to solve Wasserstein gradient flows (WGFs), particularly suitable for high-dimensional cases. Our approach is to use general reduced-order models, like deep neural networks, to parameterize…
The proximal algorithm is a powerful tool to minimize nonlinear and nonsmooth functionals in a general metric space. Motivated by the recent progress in studying the training dynamics of the noisy gradient descent algorithm on two-layer…
This article details a novel numerical scheme to approximate gradient flows for optimal transport (i.e. Wasserstein) metrics. These flows have proved useful to tackle theoretically and numerically non-linear diffusion equations that model…
We develop in this paper a new regularized flow dynamic approach to construct efficient numerical schemes for Wasserstein gradient flows in Lagrangian coordinates. Instead of approximating the Wasserstein distance which needs to solve…
Wasserstein gradient flows provide a powerful means of understanding and solving many diffusion equations. Specifically, Fokker-Planck equations, which model the diffusion of probability measures, can be understood as gradient descent over…
We propose a fully discrete variational scheme for nonlinear evolution equations with gradient flow structure on the space of finite Radon measures on an interval with respect to a generalized version of the Wasserstein distance with…
Wasserstein gradient flow has emerged as a promising approach to solve optimization problems over the space of probability distributions. A recent trend is to use the well-known JKO scheme in combination with input convex neural networks to…
Wasserstein gradient flow (WGF) is a common method to perform optimization over the space of probability measures. While WGF is guaranteed to converge to a first-order stationary point, for nonconvex functionals the converged solution does…
As the problem of minimizing functionals on the Wasserstein space encompasses many applications in machine learning, different optimization algorithms on $\mathbb{R}^d$ have received their counterpart analog on the Wasserstein space. We…
We propose a variational finite volume scheme to approximate the solutions to Wasserstein gradient flows. The time discretization is based on an implicit linearization of the Wasserstein distance expressed thanks to Benamou-Brenier formula,…
We study the quantitative convergence of drift-diffusion PDEs that arise as Wasserstein gradient flows of linearly convex functions over the space of probability measures on ${\mathbb R}^d$. In this setting, the objective is in general not…
Variational inference is a technique that approximates a target distribution by optimizing within the parameter space of variational families. On the other hand, Wasserstein gradient flows describe optimization within the space of…
Wasserstein barycenters provide a principled approach for aggregating probability measures, while preserving the geometry of their ambient space. Existing discrete methods are not scalable as they assume access to the complete set of…
This paper studies minimax optimization problems defined over infinite-dimensional function classes of overparameterized two-layer neural networks. In particular, we consider the minimax optimization problem stemming from estimating linear…
Distributionally-robust optimization is often studied for a fixed set of distributions rather than time-varying distributions that can drift significantly over time (which is, for instance, the case in finance and sociology due to…
We present a computationally efficient framework, called $\texttt{FlowDRO}$, for solving flow-based distributionally robust optimization (DRO) problems with Wasserstein uncertainty sets while aiming to find continuous worst-case…
Policy optimization is a core component of reinforcement learning (RL), and most existing RL methods directly optimize parameters of a policy based on maximizing the expected total reward, or its surrogate. Though often achieving…
Wasserstein gradient flows have become a central tool for optimization problems over probability measures. A natural numerical approach is forward-Euler time discretization. We show, however, that even in the simple case where the energy…