skip to main content

Stochastic Variance-Reduced Hamilton Monte Carlo Methods
We propose a fast stochastic Hamilton Monte Carlo (HMC) method, for sampling from a smooth and strongly log-concave distribution. At the core of our proposed method is a variance reduction technique inspired by the recent advance in stochastic optimization. We show that, to achieve $\epsilon$ accuracy in 2-Wasserstein distance, our algorithm achieves $\tilde O\big(n+\kappa^{2}d^{1/2}/\epsilon+\kappa^{4/3}d^{1/3}n^{2/3}/\epsilon^{2/3}%\wedge\frac{\kappa^2L^{-2}d\sigma^2}{\epsilon^2} \big)$ gradient complexity (i.e., number of component gradient evaluations), which outperforms the state-of-the-art HMC and stochastic gradient HMC methods in a wide regime. We also extend our algorithm for sampling from smooth and general log-concave distributions, and prove the corresponding gradient complexity as well. Experiments on both synthetic and real data demonstrate the superior performance of our algorithm.
Authors:
; ;
Award ID(s):
Publication Date:
NSF-PAR ID:
10063549
Journal Name:
International Conference on Machine Learning
Sponsoring Org:
National Science Foundation
##### More Like this
1. The noise sensitivity of a Boolean function f: {0,1}^n - > {0,1} is one of its fundamental properties. For noise parameter delta, the noise sensitivity is denoted as NS_{delta}[f]. This quantity is defined as follows: First, pick x = (x_1,...,x_n) uniformly at random from {0,1}^n, then pick z by flipping each x_i independently with probability delta. NS_{delta}[f] is defined to equal Pr [f(x) != f(z)]. Much of the existing literature on noise sensitivity explores the following two directions: (1) Showing that functions with low noise-sensitivity are structured in certain ways. (2) Mathematically showing that certain classes of functions have lowmore »
2. We study local symmetry breaking problems in the Congest model, focusing on ruling set problems, which generalize the fundamental Maximal Independent Set (MIS) problem. The time (round) complexity of MIS (and ruling sets) have attracted much attention in the Local model. Indeed, recent results (Barenboim et al., FOCS 2012, Ghaffari SODA 2016) for the MIS problem have tried to break the long-standing O(log n)-round "barrier" achieved by Luby's algorithm, but these yield o(log n)-round complexity only when the maximum degree Delta is somewhat small relative to n. More importantly, these results apply only in the Local model. In fact, themore »
3. We study the problem of testing identity against a given distribution with a focus on the high confidence regime. More precisely, given samples from an unknown distribution p over n elements, an explicitly given distribution q, and parameters 0< epsilon, delta < 1, we wish to distinguish, with probability at least 1-delta, whether the distributions are identical versus epsilon-far in total variation distance. Most prior work focused on the case that delta = Omega(1), for which the sample complexity of identity testing is known to be Theta(sqrt{n}/epsilon^2). Given such an algorithm, one can achieve arbitrarily small values of delta viamore »
4. We study the menu complexity of optimal and approximately-optimal auctions in the context of the FedEx'' problem, a so-called one-and-a-half-dimensional'' setting where a single bidder has both a value and a deadline for receiving an item [FGKK 16]. The menu complexity of an auction is equal to the number of distinct (allocation, price) pairs that a bidder might receive [HN 13]. We show the following when the bidder has $n$ possible deadlines: 1) Exponential menu complexity is necessary to be exactly optimal: There exist instances where the optimal mechanism has menu complexity $\geq 2^n-1$. This matches exactly the upper boundmore »
5. We give two new quantum algorithms for solving semidefinite programs (SDPs) providing quantum speed-ups. We consider SDP instances with m constraint matrices, each of dimension n, rank at most r, and sparsity s. The first algorithm assumes an input model where one is given access to an oracle to the entries of the matrices at unit cost. We show that it has run time O~(s^2 (sqrt{m} epsilon^{-10} + sqrt{n} epsilon^{-12})), with epsilon the error of the solution. This gives an optimal dependence in terms of m, n and quadratic improvement over previous quantum algorithms (when m ~~ n). The secondmore »