Abstract:Recent advances in stochastic optimization have yielded the interactive particle Langevin algorithm (IPLA), which leverages the notion of interacting particle systems (IPS) to efficiently sample from approximate posterior densities. This becomes particularly crucial within the framework of Expectation-Maximization (EM), where the E-step is computationally challenging or even intractable. Although prior research has focused on scenarios involving convex cases with gradients of log densities that grow at most linearly, our work extends this framework to include polynomial growth. Taming techniques are employed to produce an explicit discretization scheme that yields a new class of stable, under such non-linearities, algorithms which are called tamed interactive particle Langevin algorithms (tIPLA). We obtain non-asymptotic convergence error estimates in Wasserstein-2 distance for the new class under an optimal rate.
Abstract:We study a class of interacting particle systems for implementing a marginal maximum likelihood estimation (MLE) procedure to optimize over the parameters of a latent variable model. To do so, we propose a continuous-time interacting particle system which can be seen as a Langevin diffusion over an extended state space, where the number of particles acts as the inverse temperature parameter in classical settings for optimisation. Using Langevin diffusions, we prove nonasymptotic concentration bounds for the optimisation error of the maximum marginal likelihood estimator in terms of the number of particles in the particle system, the number of iterations of the algorithm, and the step-size parameter for the time discretisation analysis.
Abstract:In this article we consider sampling from log concave distributions in Hamiltonian setting, without assuming that the objective gradient is globally Lipschitz. We propose two algorithms based on monotone polygonal (tamed) Euler schemes, to sample from a target measure, and provide non-asymptotic 2-Wasserstein distance bounds between the law of the process of each algorithm and the target measure. Finally, we apply these results to bound the excess risk optimization error of the associated optimization problem.