Long-time asymptotics of noisy SVGD outside the population limit

Stein Variational Gradient Descent (SVGD) is a widely used sampling algorithm that has been successfully applied in several areas of Machine Learning. SVGD operates by iteratively moving a set of n interacting particles (which represent the samples) to approximate the target distribution.

Despite recent studies on the complexity of SVGD and its variants, their long-time asymptotic behavior (i.e., after numerous iterations k) is still not understood in the finite number of particles regime.

We study the long-time asymptotic behavior of a noisy variant of SVGD. First, we establish that the limit set of noisy SVGD for large k is well-defined. We then characterize this limit set, showing that it approaches the target distribution as n increases. In particular, noisy SVGD avoids the variance collapse observed for SVGD.

Our approach involves demonstrating that the trajectories of noisy SVGD closely resemble those described by a McKean-Vlasov process.

Authors: Bianchi P., Priser V., Salim A.
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