相关论文: Polygonal Unadjusted Langevin Algorithms: Creating…

We introduce a new Langevin dynamics based algorithm, called e-TH$\varepsilon$O POULA, to solve optimization problems with discontinuous stochastic gradients which naturally appear in real-world applications such as quantile estimation,…

Artificial neural networks (ANNs) are typically highly nonlinear systems which are finely tuned via the optimization of their associated, non-convex loss functions. In many cases, the gradient of any such loss function has superlinear…

We consider the problem of sampling distributions stemming from non-convex potentials with Unadjusted Langevin Algorithm (ULA). We prove the stability of the discrete-time ULA to drift approximations under the assumption that the potential…

Recent advances in stochastic optimization have yielded the interacting particle Langevin algorithm (IPLA), which leverages the notion of interacting particle systems (IPS) to efficiently sample from approximate posterior densities. This…

In this article, we consider the problem of sampling from a probability measure $\pi$ having a density on $\mathbb{R}^d$ known up to a normalizing constant, $x\mapsto \mathrm{e}^{-U(x)} / \int_{\mathbb{R}^d} \mathrm{e}^{-U(y)} \mathrm{d}…

We introduce a class of algorithms, termed proximal interacting particle Langevin algorithms (PIPLA), for inference and learning in latent variable models whose joint probability density is non-differentiable. Leveraging proximal Markov…

Standard first-order Langevin algorithms such as the unadjusted Langevin algorithm (ULA) are obtained by discretizing the Langevin diffusion and are widely used for sampling in machine learning because they scale to high dimensions and…

First order optimization algorithms play a major role in large scale machine learning. A new class of methods, called adaptive algorithms, were recently introduced to adjust iteratively the learning rate for each coordinate. Despite great…

Langevin algorithms are gradient descent methods with additive noise. They have been used for decades in Markov chain Monte Carlo (MCMC) sampling, optimization, and learning. Their convergence properties for unconstrained non-convex…

Training a very deep neural network is a challenging task, as the deeper a neural network is, the more non-linear it is. We compare the performances of various preconditioned Langevin algorithms with their non-Langevin counterparts for the…

We consider the problem of finding nearly optimal solutions of optimization problems with random objective functions. Two concrete problems we consider are (a) optimizing the Hamiltonian of a spherical or Ising $p$-spin glass model, and (b)…

Adversarial attacks on deep learning models have compromised their performance considerably. As remedies, a lot of defense methods were proposed, which however, have been circumvented by newer attacking strategies. In the midst of this…

Sampling from a target distribution is a fundamental problem. Traditional Markov chain Monte Carlo (MCMC) algorithms, such as the unadjusted Langevin algorithm (ULA), derived from the overdamped Langevin dynamics, have been extensively…

We consider the problem of sampling from a high-dimensional target distribution $\pi_\beta$ on $\mathbb{R}^d$ with density proportional to $\theta\mapsto e^{-\beta U(\theta)}$ using explicit numerical schemes based on discretising the…

Temporal difference (TD) learning algorithms with neural network function parameterization have well-established empirical success in many practical large-scale reinforcement learning tasks. However, theoretical understanding of these…

We consider non-convex stochastic optimization problems where the objective functions have super-linearly growing and discontinuous stochastic gradients. In such a setting, we provide a non-asymptotic analysis for the tamed unadjusted…

Deep neural networks (DNNs) are powerful black-box function approximators which have been shown to yield improved performance compared to traditional neural network (NN) architectures. However, black-box algorithms do not incorporate known…

We propose a method for efficiently incorporating constraints into a stochastic gradient Langevin framework for the training of deep neural networks. Constraints allow direct control of the parameter space of the model. Appropriately…

We introduce a novel and efficient algorithm called the stochastic approximate gradient descent (SAGD), as an alternative to the stochastic gradient descent for cases where unbiased stochastic gradients cannot be trivially obtained.…

While traditional Deep Learning (DL) optimization methods treat all training samples equally, Distributionally Robust Optimization (DRO) adaptively assigns importance weights to different samples. However, a significant gap exists between…