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Fast sampling from constrained spaces using the Metropolis-adjusted Mirror Langevin Algorithm
Dec 14, 2023
We propose a new method called the Metropolis-adjusted Mirror Langevin algorithm for approximate sampling from distributions whose support is a compact and convex set. This algorithm adds an accept-reject filter to the Markov chain induced by a single step of the mirror Langevin algorithm (Zhang et al., 2020), which is a basic discretisation of the mirror Langevin dynamics. Due to the inclusion of this filter, our method is unbiased relative to the target, while known discretisations of the mirror Langevin dynamics including the mirror Langevin algorithm have an asymptotic bias. We give upper bounds for the mixing time of the proposed algorithm when the potential is relatively smooth, convex, and Lipschitz with respect to a self-concordant mirror function. As a consequence of the reversibility of the Markov chain induced by the algorithm, we obtain an exponentially better dependence on the error tolerance for approximate sampling. We also present numerical experiments that corroborate our theoretical findings.
Sample Efficient Reinforcement Learning In Continuous State Spaces: A Perspective Beyond Linearity
Jun 15, 2021
Reinforcement learning (RL) is empirically successful in complex nonlinear Markov decision processes (MDPs) with continuous state spaces. By contrast, the majority of theoretical RL literature requires the MDP to satisfy some form of linear structure, in order to guarantee sample efficient RL. Such efforts typically assume the transition dynamics or value function of the MDP are described by linear functions of the state features. To resolve this discrepancy between theory and practice, we introduce the Effective Planning Window (EPW) condition, a structural condition on MDPs that makes no linearity assumptions. We demonstrate that the EPW condition permits sample efficient RL, by providing an algorithm which provably solves MDPs satisfying this condition. Our algorithm requires minimal assumptions on the policy class, which can include multi-layer neural networks with nonlinear activation functions. Notably, the EPW condition is directly motivated by popular gaming benchmarks, and we show that many classic Atari games satisfy this condition. We additionally show the necessity of conditions like EPW, by demonstrating that simple MDPs with slight nonlinearities cannot be solved sample efficiently.
On the Analysis of Trajectories of Gradient Descent in the Optimization of Deep Neural Networks
Jul 21, 2018
Theoretical analysis of the error landscape of deep neural networks has garnered significant interest in recent years. In this work, we theoretically study the importance of noise in the trajectories of gradient descent towards optimal solutions in multi-layer neural networks. We show that adding noise (in different ways) to a neural network while training increases the rank of the product of weight matrices of a multi-layer linear neural network. We thus study how adding noise can assist reaching a global optimum when the product matrix is full-rank (under certain conditions). We establish theoretical foundations between the noise induced into the neural network - either to the gradient, to the architecture, or to the input/output to a neural network - and the rank of product of weight matrices. We corroborate our theoretical findings with empirical results.
ADINE: An Adaptive Momentum Method for Stochastic Gradient Descent
Dec 20, 2017
Two major momentum-based techniques that have achieved tremendous success in optimization are Polyak's heavy ball method and Nesterov's accelerated gradient. A crucial step in all momentum-based methods is the choice of the momentum parameter $m$ which is always suggested to be set to less than $1$. Although the choice of $m < 1$ is justified only under very strong theoretical assumptions, it works well in practice even when the assumptions do not necessarily hold. In this paper, we propose a new momentum based method $\textit{ADINE}$, which relaxes the constraint of $m < 1$ and allows the learning algorithm to use adaptive higher momentum. We motivate our hypothesis on $m$ by experimentally verifying that a higher momentum ($\ge 1$) can help escape saddles much faster. Using this motivation, we propose our method $\textit{ADINE}$ that helps weigh the previous updates more (by setting the momentum parameter $> 1$), evaluate our proposed algorithm on deep neural networks and show that $\textit{ADINE}$ helps the learning algorithm to converge much faster without compromising on the generalization error.