Let V * : R d → R be some (possibly non-convex) potential function, and consider the probability measure π ∝ e −V * . When π exhibits multiple modes, it is known that sampling techniques based on Wasserstein gradient flows of the Kullback-Leibler (KL) divergence (e.g. Langevin Monte Carlo) suffer poorly in the rate of convergence, where the dynamics are unable to easily traverse between modes. In stark contrast, the work of Lu et al. (2019; has shown that the gradient flow of the KL with respect to the Fisher-Rao (FR) geometry exhibits a convergence rate to π is that independent of the potential function. In this short note, we complement these existing results in the literature by providing an explicit expansion of KL(ρ FR t π) in terms of e −t , where (ρ FR t ) t≥0 is the FR gradient flow of the KL divergence. In turn, we are able to provide a clean asymptotic convergence rate, where the burn-in time is guaranteed to be finite. Our proof is based on observing a similarity between FR gradient flows and simulated annealing with linear scaling, and facts about cumulant generating functions. We conclude with simple synthetic experiments that demonstrate our theoretical findings are indeed tight. Based on our numerics, we conjecture that the asymptotic rates of convergence for Wasserstein-Fisher-Rao gradient flows are possibly related to this expansion in some cases.
Differential privacy (DP) is the de facto standard for private data release and private machine learning. Auditing black-box DP algorithms and mechanisms to certify whether they satisfy a certain DP guarantee is challenging, especially in high dimension. We propose relaxations of differential privacy based on new divergences on probability distributions: the kernel Rényi divergence and its regularized version. We show that the regularized kernel Rényi divergence can be estimated from samples even in high dimensions, giving rise to auditing procedures for ε-DP, (ε, δ)-DP and (α, ε)-Rényi DP.
When solving finite-sum minimization problems, two common alternatives to stochastic gradient descent (SGD) with theoretical benefits are random reshuffling (SGD-RR) and shuffleonce (SGD-SO), in which functions are sampled in cycles without replacement. Under a convenient stochastic noise approximation which holds experimentally, we study the stationary variances of the iterates of SGD, SGD-RR and SGD-SO, whose leading terms decrease in this order, and obtain simple approximations. To obtain our results, we study the power spectral density of the stochastic gradient noise sequences. Our analysis extends beyond SGD to SGD with momentum and to the stochastic Nesterov's accelerated gradient method. We perform experiments on quadratic objective functions to test the validity of our approximation and the correctness of our findings.
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