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Unadjusted Langevin algorithm for sampling a mixture of weakly smooth potentials
Dec 17, 2021
Discretization of continuous-time diffusion processes is a widely recognized method for sampling. However, it seems to be a considerable restriction when the potentials are often required to be smooth (gradient Lipschitz). This paper studies the problem of sampling through Euler discretization, where the potential function is assumed to be a mixture of weakly smooth distributions and satisfies weakly dissipative. We establish the convergence in Kullback-Leibler (KL) divergence with the number of iterations to reach $\epsilon$-neighborhood of a target distribution in only polynomial dependence on the dimension. We relax the degenerated convex at infinity conditions of \citet{erdogdu2020convergence} and prove convergence guarantees under Poincar\'{e} inequality or non-strongly convex outside the ball. In addition, we also provide convergence in $L_{\beta}$-Wasserstein metric for the smoothing potential.
Estimating Feature-Label Dependence Using Gini Distance Statistics
Jun 05, 2019
Identifying statistical dependence between the features and the label is a fundamental problem in supervised learning. This paper presents a framework for estimating dependence between numerical features and a categorical label using generalized Gini distance, an energy distance in reproducing kernel Hilbert spaces (RKHS). Two Gini distance based dependence measures are explored: Gini distance covariance and Gini distance correlation. Unlike Pearson covariance and correlation, which do not characterize independence, the above Gini distance based measures define dependence as well as independence of random variables. The test statistics are simple to calculate and do not require probability density estimation. Uniform convergence bounds and asymptotic bounds are derived for the test statistics. Comparisons with distance covariance statistics are provided. It is shown that Gini distance statistics converge faster than distance covariance statistics in the uniform convergence bounds, hence tighter upper bounds on both Type I and Type II errors. Moreover, the probability of Gini distance covariance statistic under-performing the distance covariance statistic in Type II error decreases to 0 exponentially with the increase of the sample size. Extensive experimental results are presented to demonstrate the performance of the proposed method.