Statistical optimal transport

We present an introduction to the field of statistical optimal transport, based on lectures given at \'Ecole d'\'Et\'e de Probabilit\'es de Saint-Flour XLIX.

Sampling from the Mean-Field Stationary Distribution

We study the complexity of sampling from the stationary distribution of a mean-field SDE, or equivalently, the complexity of minimizing a functional over the space of probability measures which includes an interaction term. Our main insight is to decouple the two key aspects of this problem: (1) approximation of the mean-field SDE via a finite-particle system, via uniform-in-time propagation of chaos, and (2) sampling from the finite-particle stationary distribution, via standard log-concave samplers. Our approach is conceptually simpler and its flexibility allows for incorporating the state-of-the-art for both algorithms and theory. This leads to improved guarantees in numerous settings, including better guarantees for optimizing certain two-layer neural networks in the mean-field regime.

Fast parallel sampling under isoperimetry

We show how to sample in parallel from a distribution $\pi$ over $\mathbb R^d$ that satisfies a log-Sobolev inequality and has a smooth log-density, by parallelizing the Langevin (resp. underdamped Langevin) algorithms. We show that our algorithm outputs samples from a distribution $\hat\pi$ that is close to $\pi$ in Kullback--Leibler (KL) divergence (resp. total variation (TV) distance), while using only $\log(d)^{O(1)}$ parallel rounds and $\widetilde{O}(d)$ (resp. $\widetilde O(\sqrt d)$) gradient evaluations in total. This constitutes the first parallel sampling algorithms with TV distance guarantees. For our main application, we show how to combine the TV distance guarantees of our algorithms with prior works and obtain RNC sampling-to-counting reductions for families of discrete distribution on the hypercube $\{\pm 1\}^n$ that are closed under exponential tilts and have bounded covariance. Consequently, we obtain an RNC sampler for directed Eulerian tours and asymmetric determinantal point processes, resolving open questions raised in prior works.

Algorithms for mean-field variational inference via polyhedral optimization in the Wasserstein space

We develop a theory of finite-dimensional polyhedral subsets over the Wasserstein space and optimization of functionals over them via first-order methods. Our main application is to the problem of mean-field variational inference, which seeks to approximate a distribution $\pi$ over $\mathbb{R}^d$ by a product measure $\pi^\star$. When $\pi$ is strongly log-concave and log-smooth, we provide (1) approximation rates certifying that $\pi^\star$ is close to the minimizer $\pi^\star_\diamond$ of the KL divergence over a \emph{polyhedral} set $\mathcal{P}_\diamond$, and (2) an algorithm for minimizing $\text{KL}(\cdot\|\pi)$ over $\mathcal{P}_\diamond$ with accelerated complexity $O(\sqrt \kappa \log(\kappa d/\varepsilon^2))$, where $\kappa$ is the condition number of $\pi$.

The probability flow ODE is provably fast

We provide the first polynomial-time convergence guarantees for the probability flow ODE implementation (together with a corrector step) of score-based generative modeling. Our analysis is carried out in the wake of recent results obtaining such guarantees for the SDE-based implementation (i.e., denoising diffusion probabilistic modeling or DDPM), but requires the development of novel techniques for studying deterministic dynamics without contractivity. Through the use of a specially chosen corrector step based on the underdamped Langevin diffusion, we obtain better dimension dependence than prior works on DDPM ($O(\sqrt{d})$ vs. $O(d)$, assuming smoothness of the data distribution), highlighting potential advantages of the ODE framework.

Forward-backward Gaussian variational inference via JKO in the Bures-Wasserstein Space

Variational inference (VI) seeks to approximate a target distribution $\pi$ by an element of a tractable family of distributions. Of key interest in statistics and machine learning is Gaussian VI, which approximates $\pi$ by minimizing the Kullback-Leibler (KL) divergence to $\pi$ over the space of Gaussians. In this work, we develop the (Stochastic) Forward-Backward Gaussian Variational Inference (FB-GVI) algorithm to solve Gaussian VI. Our approach exploits the composite structure of the KL divergence, which can be written as the sum of a smooth term (the potential) and a non-smooth term (the entropy) over the Bures-Wasserstein (BW) space of Gaussians endowed with the Wasserstein distance. For our proposed algorithm, we obtain state-of-the-art convergence guarantees when $\pi$ is log-smooth and log-concave, as well as the first convergence guarantees to first-order stationary solutions when $\pi$ is only log-smooth.

Query lower bounds for log-concave sampling

Log-concave sampling has witnessed remarkable algorithmic advances in recent years, but the corresponding problem of proving lower bounds for this task has remained elusive, with lower bounds previously known only in dimension one. In this work, we establish the following query lower bounds: (1) sampling from strongly log-concave and log-smooth distributions in dimension $d\ge 2$ requires $\Omega(\log \kappa)$ queries, which is sharp in any constant dimension, and (2) sampling from Gaussians in dimension $d$ (hence also from general log-concave and log-smooth distributions in dimension $d$) requires $\widetilde \Omega(\min(\sqrt\kappa \log d, d))$ queries, which is nearly sharp for the class of Gaussians. Here $\kappa$ denotes the condition number of the target distribution. Our proofs rely upon (1) a multiscale construction inspired by work on the Kakeya conjecture in harmonic analysis, and (2) a novel reduction that demonstrates that block Krylov algorithms are optimal for this problem, as well as connections to lower bound techniques based on Wishart matrices developed in the matrix-vector query literature.

Faster high-accuracy log-concave sampling via algorithmic warm starts

Understanding the complexity of sampling from a strongly log-concave and log-smooth distribution $\pi$ on $\mathbb{R}^d$ to high accuracy is a fundamental problem, both from a practical and theoretical standpoint. In practice, high-accuracy samplers such as the classical Metropolis-adjusted Langevin algorithm (MALA) remain the de facto gold standard; and in theory, via the proximal sampler reduction, it is understood that such samplers are key for sampling even beyond log-concavity (in particular, for distributions satisfying isoperimetric assumptions). In this work, we improve the dimension dependence of this sampling problem to $\tilde{O}(d^{1/2})$, whereas the previous best result for MALA was $\tilde{O}(d)$. This closes the long line of work on the complexity of MALA, and moreover leads to state-of-the-art guarantees for high-accuracy sampling under strong log-concavity and beyond (thanks to the aforementioned reduction). Our starting point is that the complexity of MALA improves to $\tilde{O}(d^{1/2})$, but only under a warm start (an initialization with constant R\'enyi divergence w.r.t. $\pi$). Previous algorithms took much longer to find a warm start than to use it, and closing this gap has remained an important open problem in the field. Our main technical contribution settles this problem by establishing the first $\tilde{O}(d^{1/2})$ R\'enyi mixing rates for the discretized underdamped Langevin diffusion. For this, we develop new differential-privacy-inspired techniques based on R\'enyi divergences with Orlicz--Wasserstein shifts, which allow us to sidestep longstanding challenges for proving fast convergence of hypocoercive differential equations.

Improved Discretization Analysis for Underdamped Langevin Monte Carlo

Underdamped Langevin Monte Carlo (ULMC) is an algorithm used to sample from unnormalized densities by leveraging the momentum of a particle moving in a potential well. We provide a novel analysis of ULMC, motivated by two central questions: (1) Can we obtain improved sampling guarantees beyond strong log-concavity? (2) Can we achieve acceleration for sampling? For (1), prior results for ULMC only hold under a log-Sobolev inequality together with a restrictive Hessian smoothness condition. Here, we relax these assumptions by removing the Hessian smoothness condition and by considering distributions satisfying a Poincar\'e inequality. Our analysis achieves the state of art dimension dependence, and is also flexible enough to handle weakly smooth potentials. As a byproduct, we also obtain the first KL divergence guarantees for ULMC without Hessian smoothness under strong log-concavity, which is based on a new result on the log-Sobolev constant along the underdamped Langevin diffusion. For (2), the recent breakthrough of Cao, Lu, and Wang (2020) established the first accelerated result for sampling in continuous time via PDE methods. Our discretization analysis translates their result into an algorithmic guarantee, which indeed enjoys better condition number dependence than prior works on ULMC, although we leave open the question of full acceleration in discrete time. Both (1) and (2) necessitate R\'enyi discretization bounds, which are more challenging than the typically used Wasserstein coupling arguments. We address this using a flexible discretization analysis based on Girsanov's theorem that easily extends to more general settings.

Learning threshold neurons via the "edge of stability"

Existing analyses of neural network training often operate under the unrealistic assumption of an extremely small learning rate. This lies in stark contrast to practical wisdom and empirical studies, such as the work of J. Cohen et al. (ICLR 2021), which exhibit startling new phenomena (the "edge of stability" or "unstable convergence") and potential benefits for generalization in the large learning rate regime. Despite a flurry of recent works on this topic, however, the latter effect is still poorly understood. In this paper, we take a step towards understanding genuinely non-convex training dynamics with large learning rates by performing a detailed analysis of gradient descent for simplified models of two-layer neural networks. For these models, we provably establish the edge of stability phenomenon and discover a sharp phase transition for the step size below which the neural network fails to learn "threshold-like" neurons (i.e., neurons with a non-zero first-layer bias). This elucidates one possible mechanism by which the edge of stability can in fact lead to better generalization, as threshold neurons are basic building blocks with useful inductive bias for many tasks.