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 »
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.
- Publication Date:
- NSF-PAR ID:
- 10063549
- Journal Name:
- International Conference on Machine Learning
- Sponsoring Org:
- National Science Foundation
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