Stochastic gradient Langevin Dynamics (SgLD)

Principle and motivation

We use the same solver for the overdamped Langevin dynamics as for the Metropolis-Adjusted Langevin Algorithm, but we work with an estimator $\hat{\nabla }\log \pi$ for the gradient of the log-probability density function instead of the gradient itself. There are two reasons why one would want to do that:

• When the amount of data is huge the full gradient can be very expensive to compute;
• When there is a risk to be stuck in a region of the parameter space that is not representative of the typical set; the algorithm has annealing properties.

The exposition follows [Welling & Teh]. At time $t$ a subset $X_t=\left\{x_{1t},\dots ,x_{nt}\right\}$ of $n$ data items is sampled, a step size ${ϵ}_t$ is chosen. The gradient is approximated as:

\begin{equation*}
  \hat{\nabla} \log \pi(\theta_{t}) = \nabla \log p(\theta_{t}) + \frac{N}{n} \sum_{i} \nabla \log p(x_{it}|\theta_{t})
\end{equation*}

So the proposed update using the Langevin dynamics is:

\begin{align*}
  \theta_{t+1} &= \theta_{t} + \frac{\epsilon_{t}}{2}\;\left(\nabla \log p(\theta_{t}) + \frac{N}{n} \sum_{i} \nabla \log p(x_{it}|\theta_{t})\right) + \xi_{t}\\
  \xi_t &\sim \operatorname{Normal}\left(0, \epsilon_t\right)
\end{align*}

We do not use RMH acceptance/rejection step (which would require evaluation over the whole dataset).

Convergence

References

• Welling & Teh (2011) Bayesian Learning via Stochastic Gradient Langevin Dynamics