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research article

Improved bounds for discretization of Langevin diffusions: Near-optimal rates without convexity

Mou, Wenlong
•
Flammarion, Nicolas  
•
Wainwright, Martin J.
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August 1, 2022
Bernoulli

We consider minimizing a nonconvex, smooth function $f$ on a Riemannian manifold $\mathcal{M}$. We show that a perturbed version of Riemannian gradient descent algorithm converges to a second-order stationary point (and hence is able to escape saddle points on the manifold). The rate of convergence depends as $1/\epsilon^2$ on the accuracy $\epsilon$, which matches a rate known only for unconstrained smooth minimization. The convergence rate depends polylogarithmically on the manifold dimension $d$, hence is almost dimension-free. The rate also has a polynomial dependence on the parameters describing the curvature of the manifold and the smoothness of the function. While the unconstrained problem (Euclidean setting) is well-studied, our result is the first to prove such a rate for nonconvex, manifold-constrained problems.

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Type
research article
DOI
10.3150/21-BEJ1343
ArXiv ID

1907.11331

Author(s)
Mou, Wenlong
Flammarion, Nicolas  
Wainwright, Martin J.
Bartlett, Peter L.
Date Issued

2022-08-01

Published in
Bernoulli
Volume

28

Issue

3

Start page

1577

End page

1601

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
TML  
Available on Infoscience
December 2, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/163517
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