Nonlinear MCMC for Bayesian Machine Learning

James Vuckovic

Advances in Neural Information Processing Systems 35 (NeurIPS 2022) Main Conference Track

We explore the application of a nonlinear MCMC technique first introduced in [1] to problems in Bayesian machine learning. We provide a convergence guarantee in total variation that uses novel results for long-time convergence and large-particle (``propagation of chaos'') convergence. We apply this nonlinear MCMC technique to sampling problems including a Bayesian neural network on CIFAR10.