Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

*Pan Xu, Jinghui Chen, Difan Zou, Quanquan Gu*

We present a unified framework to analyze the global convergence of Langevin dynamics based algorithms for nonconvex finite-sum optimization with $n$ component functions. At the core of our analysis is a direct analysis of the ergodicity of the numerical approximations to Langevin dynamics, which leads to faster convergence rates. Specifically, we show that gradient Langevin dynamics (GLD) and stochastic gradient Langevin dynamics (SGLD) converge to the \textit{almost minimizer}\footnote{Following \citet{raginsky2017non}, an almost minimizer is defined to be a point which is within the ball of the global minimizer with radius $O(d\log(\beta+1)/\beta)$, where $d$ is the problem dimension and $\beta$ is the inverse temperature parameter.} within $\tilde O\big(nd/(\lambda\epsilon) \big)$\footnote{$\tilde O(\cdot)$ notation hides polynomials of logarithmic terms and constants.} and $\tilde O\big(d^7/(\lambda^5\epsilon^5) \big)$ stochastic gradient evaluations respectively, where $d$ is the problem dimension, and $\lambda$ is the spectral gap of the Markov chain generated by GLD. Both results improve upon the best known gradient complexity\footnote{Gradient complexity is defined as the total number of stochastic gradient evaluations of an algorithm, which is the number of stochastic gradients calculated per iteration times the total number of iterations.} results \citep{raginsky2017non}. Furthermore, for the first time we prove the global convergence guarantee for variance reduced stochastic gradient Langevin dynamics (VR-SGLD) to the almost minimizer within $\tilde O\big(\sqrt{n}d^5/(\lambda^4\epsilon^{5/2})\big)$ stochastic gradient evaluations, which outperforms the gradient complexities of GLD and SGLD in a wide regime. Our theoretical analyses shed some light on using Langevin dynamics based algorithms for nonconvex optimization with provable guarantees.

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